You can subscribe to the events when creating the TrackBars. All can have the same event handler:
trackBarDmx[i].Scroll += trackBarDmx1_Scroll;
Then in the handler you can find out which is this TrackBar and at which index it is (if necessary)
private void trackBarDmx1_Scroll(object sender, EventArgs e)
{
TrackBar bar = sender as TrackBar;
int trackBarIndex = this.trackBarDmx.IndexOf(bar);
}