I found a solution!!!

I have a user form named frmCalendario with a frame, the frame contains 42 labels, where de label1 name is lbl1, label2 name is lbl2, ... label42 name is lbl42.

class Module "clsLabel" code:

Public WithEvents myLabel As MSForms.Label

Private Sub myLabel_Click()
msgbox("myLabel Event")
End Sub

user form code:
Private WithEvents lbl As Label
Private newLabel() As clsLabel

Private Sub UserForm_Initialize()
Dim i As Integer
Dim etiq As String

For i = 1 To 42
etiq = "lbl" & i
Set lbl = frmCalendario.Controls.Item(etiq)
Set newLabel(i) = New clsLabel
Set newLabel(i).myLabel = lbl
Next i
End Sub

And ... it works!!!!!