You can add an event handler at runtime to handle the click event.
VB Code:
  1. Private Sub CustomPic_Click(ByVal sender As System.Object, ByVal e As System.EventArgs)
  2.         'your code for handling the event
  3.     End Sub
And then in your code for adding a new picture you can write AddHandler statement
VB Code:
  1. Dim newpic As New PictureBox
  2.         AddHandler newpic.Click, AddressOf CustomPic_Click
.

Take a look at AddHandler in your MSDN