In case anyone else is looking there is an introduction to How to Use HTML in Swing Components
in Oracle's Tutorial.
Bear in mind that JLabel != web browser: everything has its limits! Marked up text is one thing, but I've seen people attempting to include buttons and forms etc and the result isn't pretty. Also that using html with Swing components is no panacea removing the need to correct actual gui design problems indicated by runtime exceptions. (Of course, this is a general warning and not intended as any sort of criticism of what you've done.)