How do I set a BPX on an external label? With SoftIce one can add a DLL whose exported functions/labels with EXT=path/to/dll in the softice.ini (or something). How do I do that with OllyDbg ? I tried with Alt+F1 but I guess that the label is still unknown to Olly before the program has loaded the DLL. Any hints would be welcome.

You could try setting a breakpoint on GetProcAddress, so you can catch the program as it tries to locate the API. Or, you could set a breakpoint LoadLibrary, so immediatly after the dll is loaded, you can set a breakpoint.