Sort of, but you have to hook it up yourself to each control. Use the
AddHandler to hook all Click events (for each control you want to trap it
for). Be sure to get rid of the Actual handler you may have present or both
will fire!

Here's an example:
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As
System.EventArgs) Handles MyBase.Load

AddHandler Me.Click, AddressOf ClickHandler

AddHandler GroupBox1.Click, AddressOf ClickHandler

End Sub

Private Sub ClickHandler(ByVal sender As Object, ByVal e As
System.EventArgs)

'Do work here

End Sub

'Get rid of the Previous Handlers!

'Private Sub GroupBox1_Click(ByVal sender As Object, ByVal e As
System.EventArgs) Handles GroupBox1.Click

'End Sub

'Private Sub Form1_Click(ByVal sender As Object, ByVal e As
System.EventArgs) Handles MyBase.Click

'End Sub

To make this simple,
suppose I have a form (frmMain) with 2 groupboxes (gbx1 and gbx2).  I know
if I click on gbx1 it will raise a gbx1_click_event, if I click on gbx2 it
will raise a gbx2_click_event, and if I click on the form anywhere where
the groupboxes are not it will raise a form_click_event.  Is there a way
to raise some type of click event that doesn't care where I click, it just
returns the event arguements?  I could then use the returned click
coordinates and calcualte what was clicked on (gbx1, gbx2 or the form).