First of all, the event registered in the ascx should fire even though it is registered as a control onto the page. Events should bubble up (or maybe down?) through all of the controls on a page, that's part of the "magic" of webforms.
Secondly, if you do need to set an event handler in code, you can either google "add event handler .NET control" or you can type something similar below and Visual Studio intellisense should auto complete it for you after you type the "+=" and you can take it from there.
makeControl.getlistbox().OnSelectedIndexChanged += this.Index_Changed
void Index_Changed(Object sender, EventArgs e) {
// whatever you need to do on the event
}