This command brings up the Labels layout options page. The two sections let you specify how you want the labels for the Parts and Problems of your document to look. Use the Format lists to pick the basic "template" for the label, and use the Counter lists to pick the numbering style used.
As with all other options in the second group of the Format Menu, certain options on this page may be disabled, depending on whether or not the settings are to be applied to the current Part/Problem, or the entire document.