Let's start with the following structure in VSS:

$/Project_1
 /Folder_1
   /File_1-1
   /File_1-2
 /Folder_2
   /File_2-1
   /File_2-2
   /File_2-3

From your comments, it sounds like you label each file when you check that
file in.  While this may have merit, it makes it difficult to get all files
for an entire project.  For instance, if you make changes to File_2-1 and
File_2-3, you will have a label on them, but not on File_2-2.  Therefore,
when you get the project at the label, you do not get that file.

Where I work, we don't apply a label each time we check a file in.  We apply
a label at the /Project_1 level once we create a release of the software that
is to be shipped to our clients. That way, all folders and all files under
that project level folder are labelled the same.  When we need to go back to
a previous version, we simply right-click on the /Project_1 level and do a
Show History... command.  In the dialog, we highlight the label and click the
Get command button.  Once that is complete, we now have the prior version of
the source code on our local machine.

If labeling by release is not enough, depends on the timeframe you have in
building a release for your clients, then you can simply apply a generic
daily or weekly label at the project level; this way, you can go back to a
particular point in development.

I hope this addresses your issue, or at least gives you another perspective
to consider.
Richard