It is exactly what jmc told you. The following example has 9 labels on top of a picture box.

Code:
    Private Sub LabelClicks(ByVal sender As System.Object, _
                             ByVal e As System.EventArgs)
        'sender is the label clicked
        Dim PBpoint As Point = DirectCast(sender, Label).PointToScreen(PictureBox1.Location)
        'at this point PBpoint has the coordinates to the location in the PictureBox

        Debug.WriteLine(PBpoint.X.ToString & " " & PBpoint.Y.ToString)
    End Sub

    Private Sub Form1_Load(ByVal sender As System.Object, _
                           ByVal e As System.EventArgs) Handles MyBase.Load

        'add handler LabelClicks for all of the labels
        For Each c In Me.Controls
            If TypeOf c Is Label Then
                AddHandler (DirectCast(c, Label).Click), AddressOf LabelClicks
            End If
        Next
    End Sub