>Unable to open label file ../train/mfcc/sample1.lab

this looks like a path issue...make sure the label file ids in your phones0.mlf start with '*; (e.g. "*/sample1.lab") and that your train.scp file points to the actual  location of your feature files (e.g. ../train/mfcc/sample1.mfc)

Some more details based on your input.

sekar@sekar-J1900NH2:~/speechrecognition/voxforge/tutorial$ cat phones0.mlf                                                                                                                                                                                                    
#!MLF!#                                                                                                                                                                                                                                                                        
"*/words.lab"                                                                                                                                                                                                                                                                  
sil

....

sekar@sekar-J1900NH2:~/speechrecognition/voxforge/tutorial$ cat train.scp
../train/mfcc/sample1.mfc
../train/mfcc/sample2.mfc
....

sekar@sekar-J1900NH2:~/speechrecognition/voxforge/tutorial$ ls ../train/mfcc/
sample10.mfc  sample13.mfc  sample16.mfc  sample19.mfc  sample21.mfc  sample24.mfc  sample27.mfc  sample2.mfc   sample32.mfc  sample35.mfc  sample38.mfc  sample40.mfc  sample6.mfc  sample9.mfc
sample11.mfc  sample14.mfc  sample17.mfc  sample1.mfc   sample22.mfc  sample25.mfc  sample28.mfc  sample30.mfc  sample33.mfc  sample36.mfc  sample39.mfc  sample4.mfc   sample7.mfc
sample12.mfc  sample15.mfc  sample18.mfc  sample20.mfc  sample23.mfc  sample26.mfc  sample29.mfc  sample31.mfc  sample34.mfc  sample37.mfc  sample3.mfc   sample5.mfc   sample8.mfc
sekar@sekar-J1900NH2:~/speechrecognition/voxforge/tutorial$

I am just following step 6 menioned here

http://www.voxforge.org/home/dev/acousticmodels/linux/create/htkjulius/tutorial/monophones/step-6

>phones0.mlf                                                                                                                                                                                                  
>#!MLF!#                                                                                                                                                                                                                                                                      
>"*/words.lab"                                                                                                                                                                                                                                                                
>sil

the label entries in your phones0.mlf file should contain the same root name as in the entries in your train.scp file.... 

For Example, your phones0.mlf file should contain a label name whose root (i.e. "sample1" in this case): 

#!MLF!#
"*/sample1.lab"
sil
d
ay
ah
l
w
...

which must correspond to the feature file with the same root name in your train.scp file:

../train/mfcc/sample1.mfc
../train/mfcc/sample2.mfc
...

Looks like I missed some steps. I will restart from step1. Because got into this issue

HERest -A -D -T 1 -C config -I phones0.mlf -t 250.0 150.0 1000.0 -S train.scp -H hmm0/macros -H hmm0/hmmdefs -M hmm1 monophones0
HERest -A -D -T 1 -C config -I phones0.mlf -t 250.0 150.0 1000.0 -S train.scp -H hmm0/macros -H hmm0/hmmdefs -M hmm1 monophones0

HTK Configuration Parameters[10]
  Module/Tool     Parameter                  Value
#                 NUMCEPS                       12
#                 CEPLIFTER                     22
#                 NUMCHANS                      26
#                 PREEMCOEF               0.970000
#                 USEHAMMING                  TRUE
#                 WINDOWSIZE         250000.000000
#                 SAVEWITHCRC                 TRUE
#                 SAVECOMPRESSED              TRUE
#                 TARGETRATE         100000.000000
#                 TARGETKIND          MFCC_0_D_N_Z

HERest  ML Updating: Transitions Means Variances

 System is PLAIN
40 Logical/40 Physical Models Loaded, VecSize=25
2 MMF input files
Pruning-On[250.0 150.0 1000.0]
 Processing Data: sample1.mfc; Label sample1.lab
 Unable to traverse 2907 states in 1410 frames
 WARNING [-7324]  StepBack: File ../train/mfcc/sample1.mfc - bad data or over pruning
 in HERest
 Processing Data: sample2.mfc; Label sample2.lab
  ERROR [+6510]  LOpen: Unable to open label file ../train/mfcc/sample2.lab
 FATAL ERROR - Terminating program HERest
sekar@sekar-J1900NH2:~/speechrecognition/voxforge/tutorial$

Now it gives error for sample2, but have only one phones0.mlf and where to define it for sample2?

I will redo from scratch and update here. Looks like i missed some steps.

Got this error in step8

sekar@sekar-J1900NH2:~/speechrecognition/voxforge/tutorial$ HVite -A -D -T 1 -l '*' -o SWT -b SENT-END -C config -H hmm7/macros -H hmm7/hmmdefs -i aligned.mlf -m -t 250.0 150.0 1000.0 -y lab -a -I words.mlf -S train.scp dict monophones1
HVite -A -D -T 1 -l * -o SWT -b SENT-END -C config -H hmm7/macros -H hmm7/hmmdefs -i aligned.mlf -m -t 250.0 150.0 1000.0 -y lab -a -I words.mlf -S train.scp dict monophones1

HTK Configuration Parameters[10]
  Module/Tool     Parameter                  Value
#                 NUMCEPS                       12
#                 CEPLIFTER                     22
#                 NUMCHANS                      26
#                 PREEMCOEF               0.970000
#                 USEHAMMING                  TRUE
#                 WINDOWSIZE         250000.000000
#                 SAVEWITHCRC                 TRUE
#                 SAVECOMPRESSED              TRUE
#                 TARGETRATE         100000.000000
#                 TARGETKIND          MFCC_0_D_N_Z

  ERROR [+6551]  LoadMasterFile: MLF file header is missing
 FATAL ERROR - Terminating program HVite
sekar@sekar-J1900NH2:~/speechrecognition/voxforge/tutorial$ more words.mlf
ABALON
ABDOMINALS
ABOLISH

>ERROR [+6551]  LoadMasterFile: MLF file header is missing

assuming that you are at "Step 8 - Realigning the Training Data", it seems like there's something wrong in your words.mlf file