Give this a try:
' However many buttons you want
Dim numButtons As Integer = 5
Dim ButtonArray(numButtons) as Button
Dim i As Integer = 0
For Each b As Button in ButtonArray
b = new button
AddHandler b.Click, AddressOf Me.ButtonsClick
b.Tag = "b" & i
' You can also set things like button text in here.
i += 1
Next
Private Sub ButtonsClick(sender As Object, e As System.EventArgs)
' sender is the button that has been clicked. You can
' do what you'd like with it, including cast it as a Button.
Dim currButton As Button = CType (sender, Button)
Select Case currButton.Tag
Case "b0":
' This is the first button in the array. Do things!
Case "b1":
' This is the second button in the array. Do things!
Case "b2":
' Notice a pattern?
'...
End Select
End Sub