Just to round out tracy's post: most controls that have this ability are focusable, meaning you can land on them. An example would be a command button. Hitting the alt key (that's a small correction to Tracy's post, it's not the control key) sequence will cause the control to become the current control (and also will fire its click event if it has one).
Now, labels have this keyboard activate ability, but are not focusable, meaning you can't land on them. The way that it works is that the next focusable control in the tabindex order (note that labels are one of the few non-focusable controls with a tabindex property as well) gets the focus when you invoke the alt sequence that selects that label.
The common use for this is to provide keyboard support for selecting text boxes in a data entry application. For example, if there is a label whose caption is "&First Name:" with a tabindex of 2, and then a text box txtFirstName with a tabindex of 3, then hitting Alt-F will set focus to txtFirstName, just as if you had clicked in the text box.
As a general rule, it's a good idea to include the labels in the tabindex order when setting it up, whether you're supporting alt keys or not. It makes it easier to do later.
HTH
Bob