Labels do not have a standard click event in B4Ppc, although it can be added using reflection... And Message boxes also dont have a click event...BUT they can host buttons as responses to the posted message, and you can catch that response and act accordingly...
I wanted to know what was the call line for Google Maps when clicking on a KML file. (Though no doubt it is embedded in the registry somewhere.)
So I wrote a simple program whose sole purpose is to display the arguments it was given on the call line. (Easy to do with B4P.) After compiling, it can be renamed to anything I like, such as GoogleMaps.exe. Then when I click on the KML file my app gets called and displays the call line.