You are somewhat close.  Declare an array of labels first
dim myLabel(100) as label

Then do the for loop and create new instances of the label class and store
them in the array

For I = 1 to 100
   myLabel(I) = new label
   myLabel(I).Text = "Whatever"
    Me.Controls.Add(Label(I))
Next I

There is no inherent index property for controls.  Here is a piece of code
that brings the old VB6 way of doing things into an object oriented
environment:  This would go into the Load event of the form.

*****start code******

Dim i As Int32
       Dim LBL As Label
       Dim AL_Labels As New ArrayList()
       For i = 0 To 9
           LBL = New Label()
           With LBL
               .Location = New Point(100, i * 24)
               .Size = New Size(100, 20)
               .Name = "LBL_" & i.ToString
               .Text = "Label " & i.ToString
           End With
           Me.Controls.Add(LBL)
           AL_Labels.Add(LBL)
       Next

       LBL = DirectCast(AL_Labels(7), Label)
       MessageBox.Show(LBL.Text, LBL.Name)

******end of code*******

You would probably put AL_Labels outside the Load event and give it the
scope you need.