Technically, you are supposed to expose us a problem and ask for a formal question.
Anyway, your textMouseDown method has an invalid signature if you want to use it as an eventhandler for MouseDown event:
Private Sub TextMouseDown(sender As Object, e As MouseEventArgs)
Dim myLabel As Label = CType(sender, Label)
Remark: in your addTextControl method, you never create a new Label. I would bet this method throws a NullReferenceException at runtime.
Remark 2: redim an array is a costly operation. Why not using a List(Of Label) instead?