You have to be in design mode and then change the property.

1) from worksheet menu - View - Toolbars - Control Toolbox
2) Press triangle to enter or exit Design Mode.  It toggles back and forth
3) Press the tesxt box then press Properties ICON in the Control toolbox
toolbar.
4) Change the caption.

I think you are refering to changing the Caption or LABEL of the Textbox via Code, is this correct ?

Hi there,

I have a textbox1 in Active sheet (Sheet1).
How do I change the caption of this textbox1 from userform command button 1?

Thanks,

Try:
Dim res As Variant
   ActiveSheet.Shapes("Label 1").Select ' Modify Label 1 to suit what the label Number Is
   res = InputBox("What do you want to name it ?")
   Selection.Characters.Text = res
Corey....

Hi there,

I have a textbox1 in Active sheet (Sheet1).
How do I change the caption of this textbox1 from userform command button 1?

Thanks,

Sheets(1).TextBox1.Text = TextBox1.Text
this is the command from the userform