Click event of dynamically created label

Hi

I am adding label to my excel sheet using OLEObjects.Add as seen below.
This works fine.

           
    Dim v_ole As OLEObject                  'z
    Dim v_label As MSForms.Label          'x

Set v_ole = ActiveSheet.OLEObjects.Add(ClassType:="Forms.Label.1", Link:=False, _
            DisplayAsIcon:=False, Left:=370, Top:=45, Width:=46, Height:=18)

            Set v_label = v_ole.Object
            With v_label
                .Font.Name = "Arial Narrow"
                .Font.Size = 11
                .Font.Bold = True
                .Font.Underline = True
                .TextAlign = fmTextAlignRight
            End With
            With v_ole
                .Object.Caption = "Remove"
                .Object.ForeColor = &H80000002
'                .Object.OnAction = "RemoveClicked"
            End With
            Set v_ole = Nothing
            Set v_label = Nothing

How do I write the code that will fire when user clicks these labels?
tia
Ajay