Latest release version of Sharpmap (0.9) does not support attaching labels to geometric objects. However, you can implement a similar effect by getting the image of the map and drawing text on that image. Like this:
System.Drawing.Bitmap img = (System.Drawing.Bitmap)map.GetMap();
System.Drawing.Graphics g = System.Drawing.Graphics.FromImage(img);
g.DrawString("kolay gelsin", new Font("Arial", 9), new System.Drawing.SolidBrush(Color.Black), new PointF(43,43));