I have installed winexpe.exe for GLS Print Label, but I don't know how to set up this with magento and how to print label with this? Can you please help me to solve this problem?
You need to check MagentoCommerce in order to implement WINEXPe into Magento. There is an extension that does it automatically for you. Access the official website and follow the indications presented on that page.
Magento Commerce website: http://www.magentocommerce.com/magento-connect/gls-you-transporter-partner-for-parcels-shipped-from-france-official.html