linkbutton custom control

Surely, you didn't mention any specific worries, so perhaps start by reading this: Developing Custom Windows Forms Controls with the .NET Framework[^]

and few examples:
- Divider Panel - A tutorial on creating a custom Windows Forms control from Start to Toolbox[^]
- Writing your Custom Control: step by step[^]

Addition:
To use the same event handler for multiple link labels you could have something like:

linkLabel1.LinkClicked += new LinkLabelLinkClickedEventHandler(AllLinkLabels_LinkClicked);
linkLabel2.LinkClicked += new LinkLabelLinkClickedEventHandler(AllLinkLabels_LinkClicked);
linkLabel3.LinkClicked += new LinkLabelLinkClickedEventHandler(AllLinkLabels_LinkClicked);

And the event handler itself could be modified from the following:

private void AllLinkLabels_LinkClicked(object sender, LinkLabelLinkClickedEventArgs e) {
   System.Diagnostics.Process.Start((string)e.Link.LinkData);
}

Of course it needs more logic, exception handling etc, but that would be a start.