If you are in the ui, you can go to the properties of each label and set their Click handler to the same method. so if you have a method with a signature like this.
public void label_Click(object sender, EventArgs e)
{
}
Then assign that to each label and then use that to process each one. This is a naive example, and there are much better methods that use established patterns for creating windows forms applications. Check out this question or search for MVP pattern windows forms to get more info on it!