When you say "My" custom control, I am assuming you mean one you have the code to?
If that is the case, I would just suggest using the ActiveX control wizard to add the click event to the control, and mapping it to the control itself. This will put code like this in the declarations section for your user control.
Event Click() 'MappingInfo=UserControl,UserControl,-1,Click
So that when the user clicks on your control, it will raise a click event in VB for that control.
Robert