Can you get a specific labeled version for the entire SOLUTION?
Applying a shortcut is not the easiest thing to find. You can get to it by right clicking on the folder containing the solution file in the Source Control Box window (which you can go to by double clicking the Source Control node in Team Explorer). When you apply a label, apply it to the folder containing the things you want to include in the label. Then make sure the next screen shows the contents of that folder (i.e. All files you want to tag)
In TFS, a label is a bit like a tag. It's actually something that can be edited, and you can have different versions of files included in it if you really need to.
TFS also has the concept of Change. A changeset is a number that is always incremented on a specific server (or a project build in TFS2010). The number represents a unique point in time for this server instance.
To get files from a specific version, in Solution Explorer, right-click on your solution and do "Get Specific Version ...". In the Version Group field, you can change the type from the latest default version to the Changeset, Date or Label BOM if you want to get a version from an earlier point in time.
Hope it helps.
Martin.
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