You can create them dynamically in code. Declare the label outside of any subs using the "WithEvents" keyword - this will allow you to attach a double-click event to the label through making use of the AddHandler method. You will have to add your own code to determine how many labels you'll need, I've just used a loop to demonstrate.
Private WithEvents lblEvent As Label
Private Sub MySub()'dynamically add labels
Dim i As Integer
Do Until i = 30
lblEvent = New Label
lblEvent.Text = "Event Label " & i.ToString
AddHandler lblEvent.DoubleClick, AddressOf lblEvent_DoubleClick
'add the label to a control
Me.Controls.Add(lblEvent)
Loop
End Sub
Private Sub lblEvent_DoubleClick(ByVal sender As Object, _
ByVal e As System.EventArgs) Handles lblEvent.DoubleClick
'add processing here
End Sub