Take a look at /skin1/main/product_modify.tpl, lines 74-106 (in my version of the file). The code displays those labels as follows:
Code:
<tr>
<td class=ProductDetails>{$lng.lbl_main_category}</td>
<td class=ProductDetails>
<select name="categoryid">
{section name=cat_num loop=$allcategories}
<option value="{$allcategories[cat_num].categoryid}" {if $allcategories[cat_num].categoryid eq $product.categoryid}selected{/if}>{ $allcategories[cat_num].category }</option>
{/section}
</select>
{if $fillerror ne "" and $product.categoryid eq ""}<font class=Star><<</font>{/if}
</td>
</tr>
<TR>
<TD class=ProductDetails>{$lng.lbl_category} #1</TD>
<TD class=ProductDetails>
<SELECT name="categoryid1">
<OPTION value=0 {if $product.categoryid1 eq "0"}selected{/if}>{$lng.lbl_undefined}</OPTION>
{section name=cat_num loop=$allcategories}
<option value="{$allcategories[cat_num].categoryid}" {if $allcategories[cat_num].categoryid eq $product.categoryid1}selected{/if}>{ $allcategories[cat_num].category }</option>
{/section}
</SELECT></TD>
</TR>
<TR>
<TD class=ProductDetails>{$lng.lbl_category} #2</TD>
<TD class=ProductDetails>
<SELECT name="categoryid2">
<OPTION value=0 {if $product.categoryid2 eq "0"}selected{/if}>{$lng.lbl_undefined}</OPTION>
{section name=cat_num loop=$allcategories}
<OPTION value="{$allcategories[cat_num].categoryid}" {if $allcategories[cat_num].categoryid eq $product.categoryid2}selected{/if}>{ $allcategories[cat_num].category }</OPTION>
{/section}
</SELECT></TD>
</TR>
<TR>
<TD class=ProductDetails>{$lng.lbl_category} #3</TD>
...
Just remove the "{$lng.lbl_category} #X" part and replace it with whatever you want.
HTH
Jeremy