só pra ser mais exato veja este exemplo
primeiro no label mude MousePointer para
MousePointer = 99 - Custom
MouseIcon você escolhe o icone
agora cole
Private Declare Function ShellExecute Lib "shell32.dll" Alias "ShellExecuteA" (ByVal hwnd As Long, ByVal lpOperation _
As String, ByVal lpFile As String, ByVal lpParameters As String, ByVal lpDirectory As String, ByVal nShowCmd As Long) As Long
Private Sub Form_Load()
With Label1
.AutoSize = True
.ForeColor = vbBlue
.Font.Underline = True
.Caption = "
http://www.vbweb.com.br"
End With
End Sub
Private Sub Form_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
Label1.ForeColor = vbBlue
End Sub
Private Sub Label1_Click()
Dim ret&
ret = ShellExecute(Me.hwnd, "OPen", Label1.Caption, "", "", 1)
End Sub
Private Sub Label1_MouseUp(Button As Integer, Shift As Integer, X As Single, Y As Single)
Label1.ForeColor = vbBlue
End Sub
Private Sub Label1_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
Label1.ForeColor = vbRed
End Sub