Calorie is an energy measurement unit. Calorie approximates the energy needed to increase the temperature of 1 gram of water by 1 °C (about 4.184 Joules).
Note: usually labels are not in cal but in kcal. 1kcal = 1000 cal (k stands for kilo).

How to read a nutrition labels?
First of all let's start with the following table:

Food component	Energy density (kcal/g)
fat	9
ethanol (alcohol)	7
proteins	4
carbohydrates	4

This table tells us the amount of calories per gram of food component. As we can see fat and alcohol has more kcal/g than protein and carbohydrates.

Now let's take a sample nutrition label:



Total calories = (1.5 grams of fat * 9 kcal/g) + (4 grams of carbohydrates * 4 kcal/g) + (1 grams of protein * 4 kcal/g) = 33.5

As you can see the result is close to what's written on the label (30 calories). The difference can be explained by rounding made in presented table. For instance, as far as I remember for proteins energy density isn't 4 kcal/g, but 3.7 kcal/g.

When looking at nutrition labels it's advisable to look not only at calorie but also at components. Also, usually labels are per 100g of nutrient, but sometimes different labels met (frequently in sweets with high caloric value you'll see calories not per 100g but for 30g).

Additional suggested reading: Daily Calorie needs
For more info see: http://en.wikipedia.org/wiki/Calorie