I've always used the pushpin tool, which is available in MapPoint 2006 on the Tools menu. In previous versions it isn't built into the package so I originally bought the software through Support-PC Home of Pushpin Tool. ($75). Basically this allows you to change the state of your pushpins label on selected datasets or all the pushpins on your map at one fell swoop. Otherwise you'll have to do a lot of right clicking or alternatively write your own code.

Hope that helps.