I think what you are looking for is not GUI.Label, but a GUIText

http://unity3d.com/support/documentation/ScriptReference/GUIText.html

When you have the Text in place, you can simply create a reference to it in your script, and change it's value by changing .text with your script.

So in C# just:

GUIText myText;
int myHeath = 100;
myText.text = myHealth.ToString();

Actually... Can't you just do a OnGUI script?

Like...

function OnGUI(){
    GUI.Label(0,0,200,200,PlayerHealth);
}

On the object that contains PlayerHealth? http://unity3d.com/support/documentation/ScriptReference/GUI.Label.html

If you're talking about using a GUIText though, like Smorpheus said above... It would be kinda like

theGuiText.text = PlayerHealth.ToString();

As he has done so above, with theGUiText referring to the GUIText you created, and PlayerHealth being the float/int variable you created.

ok so, this is my new code

var PlayerHealthDisplay : int;

FPSWalker.PlayerHealth = PlayerHealthDisplay;

guiText.text = PlayerHealthDisplay;

but the console says "Cannot convert integer into String".

Now what?

If you want it Updated you should keep it inside of a function Update(){}