Something like the following?
data1 = {{{2006, 10, 1}, 10}, {{2006, 10, 15}, 12},
{{2006, 10, 30},15}, {{2006, 11, 20}, 20}};
data2 = {{{2006, 10, 5}, 15}, {{2006, 10, 20}, 8},
{{2006, 11, 10}, 5}, {{2006, 11, 15}, 1}};
DateListPlot[{data1, data2}, PlotStyle -> {Red, Blue}, Joined -> True,
PlotLabel -> Row[{Style["CapReg", Red, "Section"],Spacer[15],
Style["Equity", Blue, "Section"]}]]

EDIT: For placing parts of plot label in various places, you can use option FrameLabel or the built-in function Labeled as follows:
DateListPlot[{data1, data2}, PlotStyle -> {Red, Blue}, Joined -> True,
FrameLabel -> {{"values", None}, {Column[{"dates", Style["Equity", Blue, "Section"]},
Alignment -> Center], Style["CapReg", Red, Bold, "Section"]}}]

Labeled[
DateListPlot[{data1, data2}, PlotStyle -> {Red, Blue}, Joined -> True,
FrameLabel -> {{"values", None}, {"dates", None}}],
{Style["CapReg", Red, Bold, "Section"], Style["Equity", Blue, Bold, "Section"]},
{Top, Bottom}]

PlotStyle? – 0x4A4D♦ Jun 23 '12 at 1:11