mylabel = new MyLabel(this);
    mylabel ->setGeometry(50,50,600,500);
    mylabel ->show();
    mylabel ->setObjectName("label");
    mylabel ->setStyleSheet(
    "  QLabel#label{"
        "     background-color: pink;"
                "}"
        );

so we use our custom one and not another plain one.

mylabel = new MyLabel(this);

label = new QLabel(this);

You have created a MyLabel, and then never used it?! Instead retaining all your code which creates a QLabel??

dialog.h:

#ifndef DIALOG_H
#define DIALOG_H

#include "mylabel.h"
#include <QDialog>
#include <QLineEdit>
#include <QVariantAnimation>
#include <QPainter>
#include <QLabel>
#include <QWidget>

namespace Ui {
class Dialog;
}

class Dialog : public QDialog
{
    Q_OBJECT

public:
    explicit Dialog(QWidget *parent = 0);
    ~Dialog();

    QLineEdit *lineEdit_1;

    QLabel *label;

    MyLabel *mylabel;


public slots:
    void setProgress();

private:
    Ui::Dialog *ui;


};

#endif // DIALOG_H

dialog.cpp:

#include "dialog.h"
#include "ui_dialog.h"
#include "mylabel.h"
#include <QGraphicsDropShadowEffect>
#include <QLabel>

Dialog::Dialog(QWidget *parent) :
    QDialog(parent),
    ui(new Ui::Dialog)

{
    ui->setupUi(this);

    mylabel = new MyLabel(this);

    label = new QLabel(this);
    label->setGeometry(50,50,600,500);
    label->show();
    label->setObjectName("label");
    label->setStyleSheet(
    "  QLabel#label{"
        "     background-color: pink;"
                "}"
        );

    lineEdit_1 = new QLineEdit(label);
    lineEdit_1->setGeometry(400,50,100,50);
    lineEdit_1->show();



    connect(lineEdit_1, SIGNAL(textChanged(const QString &)), this, SLOT(setProgress()));


}


Dialog::~Dialog()
{
    delete ui;
}

void Dialog::setProgress()
{

    mylabel->SetProgress(120);
    mylabel->update();
}

mylabel.h:

#ifndef MYLABEL_H
#define MYLABEL_H
#include <QObject>
#include <QLabel>
#include "dialog.h"

class MyLabel : public QLabel
{
    Q_OBJECT
    public:
        MyLabel(QWidget *parent = 0);
        void paintEvent(QPaintEvent *);
        void SetProgress(int progressValue );
        int progress;

};


#endif

mylabel.cpp:

#include "mylabel.h"
#include <QLabel>

MyLabel::MyLabel(QWidget *parent)
    : QLabel(parent)
{


}


void MyLabel::SetProgress(int progressValue )
{
   progress = progressValue;
   update();
}

void MyLabel::paintEvent(QPaintEvent *)
{


    QPainter p(this);

    QPen pen(QBrush("#00FF00"), 10);
    p.setPen(pen);
    p.setRenderHint(QPainter::Antialiasing);

    QRectF rectangle(100.0, 100.0, 100.0, 100.0);


   int startAngle = 0;
   int spanAngle = progress * 16;

   p.drawArc(rectangle, startAngle, spanAngle);
}

void Dialog::setProgress()
{

   MyLabel mylabel;
   mylabel.SetProgress(120);
   this->update();
}

this wont work as MyLabel mylabel; will deleted very fast.

You have to make it a member of Dialog
so
MyLabel *mylabel; in Dialog class (in its h)

then in Dialog constructor, you do once
mylabel = new MyLabel(this);

then

void Dialog::setProgress()
{  
   mylabel->SetProgress(120);
   mylabel->update();
}

mylabel->SetProgress(value from edit )

Hi
Thank you for replying.
I changed my code as you said. I got the error "label was not declared in this scope" (this error is related to the line : "QPainter p(label);" inside the paintevent in MyLabel class).
As the label exists inside the window of QDialog class, how can I fix this error?

Here is the code:

mylabel.h:

#ifndef MYLABEL_H
#define MYLABEL_H
#include <QObject>
#include <QLabel>
#include "dialog.h"

class MyLabel : public QLabel
{
    Q_OBJECT
    public:
        MyLabel(QWidget *parent = 0);
        void paintEvent(QPaintEvent *);
        void SetProgress(int progressValue );
        int progress;

};


#endif

mylabel.cpp:

#include "mylabel.h"
#include <QLabel>

MyLabel::MyLabel(QWidget *parent)
    : QLabel(parent)
{


}


void MyLabel::SetProgress(int progressValue )
{
   progress = progressValue;
   update();
}

void MyLabel::paintEvent(QPaintEvent *)
{


    QPainter p(label);

    QPen pen(QBrush("#00FF00"), 10);
    p.setPen(pen);
    p.setRenderHint(QPainter::Antialiasing);

    QRectF rectangle(100.0, 100.0, 100.0, 100.0);


   int startAngle = 0;
   int spanAngle = progress * 16;

   p.drawArc(rectangle, startAngle, spanAngle);
}

dialog.h:

#ifndef DIALOG_H
#define DIALOG_H

#include "mylabel.h"
#include <QDialog>
#include <QLineEdit>
#include <QVariantAnimation>
#include <QPainter>
#include <QLabel>
#include <QWidget>

namespace Ui {
class Dialog;
}

class Dialog : public QDialog
{
    Q_OBJECT

public:
    explicit Dialog(QWidget *parent = 0);
    ~Dialog();

    QLineEdit *lineEdit_1;

    QLabel *label;

    int progress;



public slots:
    void setProgress();

private:
    Ui::Dialog *ui;


protected:
     void paintEvent(QPaintEvent *);


};

#endif // DIALOG_H

dialog.cpp:

#include "dialog.h"
#include "ui_dialog.h"
#include "mylabel.h"
#include <QGraphicsDropShadowEffect>
#include <QLabel>

Dialog::Dialog(QWidget *parent) :
    QDialog(parent),
    ui(new Ui::Dialog)

{
    ui->setupUi(this);

    label = new QLabel(this);
    label->setGeometry(50,50,600,500);
    label->show();
    label->setObjectName("label");
    label->setStyleSheet(
    "  QLabel#label{"
        "     background-color: pink;"
                "}"
        );

    lineEdit_1 = new QLineEdit(label);
    lineEdit_1->setGeometry(400,50,100,50);
    lineEdit_1->show();



    connect(lineEdit_1, SIGNAL(textChanged(const QString &)), this, SLOT(setProgress()));


}


Dialog::~Dialog()
{
    delete ui;
}

void Dialog::setProgress()
{

   MyLabel mylabel;
   mylabel.SetProgress(120);
   this->update();
}

main.cpp:

#include "dialog.h"
#include <QApplication>

int main(int argc, char *argv[])
{
    QApplication a(argc, argv);
    Dialog w;
    w.show();

    return a.exec();
}

Then add a new function to MyLabel like
MyLabel::SetProgress(int progressValue ) {
progress = progressValue; // progress is a new variable to put in MyLabel.h (in class) so PaintEvent can use it
update(); // make label paint it self
}

Then in your slot setProgress you can

mylabel->SetProgress(value from edit )
and the label will redraw.