Hi, How are you calling a OnClick() event on the label which you have?
There is no pre-defined OnClick() event for a label. You can add an attribute as shown below for your label, but then the function which is called on the OnClick() event should be a Javascript one. Then migrating back to the server-side code to delete something will be a tedious task.
MyLabel.Attributes.Add("OnClick", "CallMe();");
In my opinion, why don't you use a button to delete whatever you want to delete.
Call a event handler on the button click and then have a confirmation message box(It will also be a Javascript call) to intimate the user that "Are you sure you wana delete?". If yes, then call again a function which will actually delete stuff from your dataset.
Hope it helps.
-Anurag