Google shows that program, Label Factory as a windows application. The website does not indicate it will work natively under Linux. If you wish to run it under Linux you could look into Wine, a compatibility layer, that allows one to run many windows applications in Linux. Bear in mind that not all windows applications can be made to work using Wine.
For more info about wine: http://www.winehq.org/
Search the database for Label Factory; perhaps someone has it working already (edit, I did not find it). If not you could try loading it. The documentation on the Wine site is great
Wine is avaliable through Ubuntu's package management system. Just search synaptic