Creas una etiqueta que se llame lblCaption, le pones "Mover" o algo similar y probá sosteniendo el mouse sobre ella y moviendolo para ver el efecto.
'
'Coded by Slasher
'
Option Explicit
Option Base 1 'Soy humano :)
Private snCoord(2) As Single
Private Sub lblCaption_MouseDown(Button As Integer, Shift As Integer, X As Single, Y As Single)
On Error Resume Next
snCoord(1) = X
snCoord(2) = Y
End Sub
Private Sub lblCaption_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
On Error Resume Next
If Button = 1 Then
Call Me.Move((Left - snCoord(1)) + X, (Top - snCoord(2)) + Y)
End If
End Sub
Saludos.