Could you elaborate a little more on what you have and what you want to achieve? And also on why this is listed in the Developers section (is it code you're after?). What software and what version you are using. Without that information it will be difficult to provide you with a useful answer.
In addition... did you mean annotations? Converting labels to annotation—Help | ArcGIS for Desktop
Did you find some reference that you could convert directly to shapefiles? What searching have you done to simplify others beginning a search on this topic?
Apart from Dan's suggestion,
If you want to convert the labels to point shapefile, you need to do the following steps:
2) Annotation feature to point shapefile.
* The placement of labels is dynamic. That is why we need to convert labels to annotation.
Label made through ARCMAP very sophisticated. For publication in SILVERLIGTH written content.
Together with this we have many other needs for this Label and map.
So we thought to make labels to file SHP (we have software that capable only for SHP files)