Just in case you're not sure where to look, the documentation is referring to the "Add a filter" link that appears at the bottom of the left menu on the Search Results page. This is an example from my instance (Cloud version):
Search - Label Filter Added.jpg
When you click "Add a filter", select "Label" from the list:
Search - Add a Filter.jpg
You can also refer to the main Search article: https://confluence.atlassian.com/doc/search-139528.html
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