The problem investigated in this paper concerns the integration of a decision maker preference model within a labeling algorithm for the multi-objective shortest path problem. The aim is to use a preference model built a priori for computing efficiently exact preferred solutions. The approach is based on the Choquet integral, which can model not only relative importances but also interactions between criteria. The paper introduces Choquet dominance rules, which replaces the Pareto dominance. The rules are integrated within the label setting algorithm originally proposed in 1984 by Martins. Numerical experiments report significant performance improvements, and conclude on the efficiency of the rules for reducing the search space.