label1:
 .local1: ;  label1.local1
label_other:
 .local2: ;  label_other.local2    

Make sure there aren't any non-dot labels in between the local labels.

proc MyFunc

_MyFuck: ; init one

.local_label1:
...
{asm code}
...
.local_labelN:

endp    

The error message shows a label without a dot, with which the name is joined with a dot (HTTPRequest.find_first). Such a name (without a dot) can be in the code before the jmp command, and not before the label is declared.

proc HTTPRequest
...
.find_first:
...
.find_next:
...
endp    

proc MyProc

Local lpBuffer dd ?

...
.scan:

...
endp    

.find_first: jmp .undefined_name    

error: undefined symbol 'XXXX.undefined_name'.
; XXXX - That's the name that's causing you problems.    

The basic rule for defining labels: do not mix global and local labels in a procedure.

proc MyFunc

.local_label1:  ;       MyFunc.local_label1             correctly

...

local_lable2:   ;       local_lable2.local_label1       this is not a local label

...

.local_labelN:  ;       local_lable2.local_labelN       change label name

endp    

Code:

proc MyFunc
...
local_lable2:   ;       local_lable2.local_label1       this is not a local label
...    

local_lable2:   ;       local_lable2    this is not a local label    

revolution, isn't «local_lable2» without a dot a global label?

a:
 .b: ; a.b
 .c: ; a.c
d:
 .e: ; d.e
 .f: ; d.f
jmp a ; valid
jmp a.b ; valid
jmp .b ; invalid, no label d.b
jmp .f ; valid d.f
jmp d.f ; valid    

Did I understand correctly?

struc A {
  .a db ?
  .b db ?
}

C  A
; C.a     db ?
; C.b     db ?
.Z A ; first .Z binds to C.b -> C.b.Z
; C.b.Z.a db ?
; C.b.Z.b db ?

mov ah, [C.a]    ; C.a
mov al, [C.b]    ; C.b
mov bl, [.Z.a]   ; C.b.Z.a
mov bh, [.Z.b]   ; C.b.Z.b
mov ch, [C.b.Z.a]; C.b.Z.a
mov cl, [C.b.Z.b]; C.b.Z.b

D  A
; D.a     db ?
; D.b     db ?
.Y A ; first .Y binds to D.b -> D.b.Y
; D.b.Y.a db ?
; D.b.Y.b db ?

mov ah, [C.a]    ; C.a
mov al, [C.b]    ; C.b
mov bl, [.Y.a]   ; D.b.Y.a
mov bh, [.Y.b]   ; D.b.Y.b
mov ch, [D.b.Y.a]; D.b.Y.a
mov cl, [D.b.Y.b]; D.b.Y.b
mov dh, [C.b.Z.a]; C.b.Z.a
mov dl, [C.b.Z.b]; C.b.Z.b
    

proc MyFunction

.local_1:

..sub_local: ;  MyFunction.local_1.sub_local

.local_2:

endp    

proc MyFunction

.local_1:

.local_1.sub_local: ;  MyFunction.local_1.sub_local    

macro global name { if 0
    label name
end if }

proc MyFunction

.local_1:

global MyFunction.local_1
.sub_local: ;  MyFunction.local_1.sub_local

global MyFunction
.local_2: ; MyFunction.local_2

endp    

a:   ; a
..b: ; ..b, doesn't change the base label a
.b:  ; a.b