class
  TMyLabel = class(TLabel)  
    //..  
  private
    FMouseInPos : Boolean;
    procedure CMMouseEnter(var AMsg: TMessage); message CM_MOUSEENTER;
    procedure CMMouseLeave(var AMsg: TMessage); message CM_MOUSELEAVE;
    //..  end;

implementation

procedure TMyLabel.CMMouseEnter(var AMsg: TMessage);
begin
  FMouseInPos := True;
  Refresh;
end;

procedure TMyLabel.CMMouseLeave(var AMsg: TMessage);
begin
  FMouseInPos := False;
  Refresh;
end;

// read FMouseInPos when painting the control:
procedure TMyLabel.Paint;
begin
  if FMouseInPos then
    Font.Color := clBlack
  else
    Font.Color := clRed; // display an active link in red
  inherited;
end;