That's not going to work because you don't define the type of the array. This would work MUCH easier if you used a Generic collection like this:
Dim myTextBoxes As New List(Of TextBox)
myTextBoxes.Add(txtNum0)
myTextBoxes.Add(txtNum1)
myTextBoxes.Add(txtNum2)
...
' BTW: You don't have to put "Me" in front of everything...
...
' and you don't need the exception handling code
...
For i As Integer = 0 To myTextBoxes.Count - 1
With myTextBoxes(i)
' I don't know why you're setting Enabled True and False.
' That doesn't do anything in this code.
.BackColor = Color.LightBlue
.ForeColor = Red
.Text = (i + 1).ToString
End With
Next