HTML in webform labels
You won't be able to use HTML markup within the label inputs within the Webform module itself, as it most likely cleans out all HTML markup before displaying to the user to prevent XSS attacks etc.

Most likely you'll need to write a small custom module which implements hook_form_alter, which will allow you to change the markup used for the labels.

I'm not actually sure if Drupal will allow markup within the #title attribute of your form elements, so you might need to use the #prefix property instead to add your custom HTML replacement labels.

If this is all Greek to you then you'll probably need to checkout these tutorials:

Creating modules - a tutorial: Drupal 7.x

Hook snippets: hook_form_alter