I wanted to do something like this:
My Label
Your question doesn't specify if you mean to raise the click event on the server (VB or c#) or the client (javascript.) If you're looking for a server-side event you should use a link button with css that makes the link appear as a label. You can then use the link button's server-side click event. If you're looking for a client-side click event - just type it into your server control markup
asp:label id="MyLabel" runat="server" onclick="javascript:alert('hello');" Text="Click Me";
ASP.NET will emit additional attributes in the html markup that generates.