arr[0, 0] = new PictureBox
{
    Location = new Point(0, 0),
    Size = new Size(50, 50),
    SizeMode = PictureBoxSizeMode.StretchImage,
    Image = imlHeroes.Images[1];
};
pnlPlayground.Controls.Add(arr[0, 0]);


this.arr[0, 0].MouseClick += new MouseEventHandler(MyProc);

void MyProc(object sender, MouseEventArgs e)
{
    MessageBox.Show("");
}