Example code below shows how to include HTML in JLabel.
Java Code:
import javax.swing.*;

public class HTMLLabelApplet extends JApplet {
  public void init( ) {

    JLabel theText = new JLabel(
     "<html>Hello! This is a multiline label with <b>bold</b> "
     + "and <i>italic</i> text. <P> "
     + "It can use paragraphs, horizontal lines, <hr> "
     + "<font color=red>colors</font> "
     + "and most of the other basic features of HTML 3.2</html>");
    this.getContentPane( ).add(theText);

Including HTML in a JLabel-htmlapplet.png