Someone posted this a while back and it seem pretty good.
VB Code:
  1. Option Explicit
  2. Dim blnClicked As Boolean
  3.  
  4. Private Sub Label1_DragDrop(Source As Control, X As Single, Y As Single)
  5. '   Use this event instead of the click event
  6.     blnClicked = True
  7.     Me.Print "Clicked"
  8. End Sub
  9.  
  10. Private Sub Label1_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
  11.     With Label1
  12.         .ForeColor = vbBlue
  13.         .Font.Underline = True
  14.         'path to hand cursor
  15.         .DragIcon = LoadPicture("C:\Program Files\Microsoft Visual Studio\Common\Graphics\Cursors\hand.cur")
  16.         .Drag vbBeginDrag
  17.     End With
  18. End Sub
  19.  
  20. Private Sub Label1_DragOver(Source As Control, X As Single, Y As Single, State As Integer)
  21.     If State = vbLeave Then
  22.         With Label1
  23.             .ForeColor = vbBlack
  24.             .FontUnderline = False
  25.             .Drag vbEndDrag
  26.         End With
  27.     End If
  28. End Sub