How can I add a label to one of my media in my Media Library?

To create a new label, go on the Media Library page, click on the media of your choice and enter a label in the label field:

After you've created and added your first label, when you click to add a label to another media in your Media Library, the labels you've already created will appear as a list under the label field so you can simply tick the box to apply that label to your media!