Did you know about the "New Label Not Associated With A Control" message?
One reason I much prefer using Access 2003 compared to older versions of Access is the little warning widgets (for lack of a better term) that come up while you are working on forms or reports. These help me, a highly experienced Access developer, work more efficiently. And I'm sure they help many a newbie as well too.
However there is a little trick that some people aren't aware of when it comes to the "New Label Not Associated With A Control" message. Simply save the form or report, exit the form or report and reopen the form or report. That particular message won't reappear for those particular controls. If you add some new controls and cut and paste the labels to the header then you will get the messages for the new control labels.
All the other messages will still appear when you reopen the form.
Also you can change the colour of the Error Indicator (that little triangle indicator in the corner. It's hard to see in the above screen shot). I prefer Red as that stands out more.