Creating control from 'control array?'

Question

I have an array of picture boxes as so:

    Dim pieces(500) As PictureBox
    pieces(1) = New PictureBox
    With pieces(1)
        .CreateControl()
        .Visible = True
        .BackColor = Color.Red
        .Width = 50
        .Height = 50
        .Left = 50
        .Top = 50
    End With

The program does not crash or anything, but the picturebox is no where to be seen on the form. How to I make this work correctly?

And is 'Control Array' the correct term for this? or something else?