in PCB enable the layer DrillDrawing
now place a text string on it an set the text to
.LEGEND
the "." is important
as long as you are in PCB mode, you will get a message that the legend is not intepreted until output. if you create gerber or any other output format, you will get the legend. i give you the hint to change the default setting from symbols to characters, because the chracters will be repeated .... :-(
you can also specify that you will get only one output PDF.

Bur go to the Protel Eda Forum and you will get much more information ... see my mail above.