It works for me :
just use b tag around the text.
Label1.Text = "Normal Text"
Label1.Text &= "<b>BOLD TEXT</b>"
Label1.Text &= "Normal Text"
Hope it works for you too.
[Edit-1]
It is not allowing me to write b tag. it changes in bold text you can see 'BOLD TEXT'.
[Edit-2]
Now it's showing correctly. Thanks Rohan for your help.
Good luck.