First, set the controls' TabIndex orders on your form then use this code:
Public Class Form1
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
For Each c As Control In Me.Controls
If TypeOf c Is Label Then AddHandler c.Click, AddressOf Label_Click
Next
End Sub
Private Sub Label_Click(ByVal sender As Object, ByVal e As System.EventArgs)
Me.SelectNextControl(sender, True, True, True, True)
End Sub
End Class
Now whenever you click on a label, the following control in the order will be focused.