PyQt4.QtGui.QStyle.SP_MessageBoxWarning is an enumeration value not a pixmap.
In order to get a pixmap from it, you could give it to the standardPixmap method of the current used style.
Example:
from PyQt4 import QtGui
if __name__ == '__main__':
    app = QtGui.QApplication([])
    label = QtGui.QLabel()
    label.setPixmap(app.style().standardPixmap(QtGui.QStyle.SP_MessageBoxWarning))
    label.show()
    app.exec_()
Unfortunately, the standardPixmap method is considered obsolete now. The Qt doc advises to use the standardIcon method which returns a QIcon.
If you still want to use a QLabel to display your icon, you have to build a QPixmap from the QIcon you get. You can use one of its pixmap methods for this:
from PyQt4 import QtGui
if __name__ == '__main__':
    app = QtGui.QApplication([])
    label = QtGui.QLabel()
    icon =  app.style().standardIcon(QtGui.QStyle.SP_MessageBoxWarning)
    label.setPixmap(icon.pixmap(32))
    label.show()
    app.exec_()