What exactly are you having trouble with? If you want to know how to select all Labels that are direct children of the current Form and then add an event handler to them, that would go something like this:
foreach (Control c in this.Controls)
{
Label lbl = c as Label;
if (lbl != null)
{
lbl.Click += new EventHandler(delegate(object sender, EventArgs e)
{
MessageBox.Show("A label was clicked.");
});
}
}