Start the drag in a control's MouseDown event handler. Copy the picture into an ImageList control. Then use the ImageList control's ListImages collection's ExtractIcon method to get an icon. Set the control's DragIcon property to the icon and call the Drag method to start the drag.

' Set this control's DragIcon property.
Private Sub Label1_MouseDown(Index As Integer, Button As _
    Integer, Shift As Integer, X As Single, Y As Single)
Dim txt As String

    ' Write the text into the PictureBox.
    Picture1.Font.Name = Label1(Index).Font.Name
    Picture1.Font.Size = Label1(Index).Font.Size
    Picture1.Font.Bold = Label1(Index).Font.Bold
    Picture1.Line (0, 0)-(Picture1.ScaleWidth, _
        Picture1.ScaleHeight), Picture1.BackColor, BF

    txt = Label1(Index).Caption

    Picture1.CurrentX = (Picture1.ScaleWidth - _
        Picture1.TextWidth(txt)) / 2
    Picture1.CurrentY = (Picture1.ScaleHeight - _
        Picture1.TextHeight(txt)) / 2
    Picture1.Print Label1(Index).Caption
    Picture1.Picture = Picture1.Image

    ImageList1.ListImages.Clear
    ImageList1.ListImages.Add , , Picture1.Picture

    Label1(Index).DragIcon = _
        ImageList1.ListImages(1).ExtractIcon
    Label1(Index).Drag
End Sub

Private Sub Label1_DragDrop(Index As Integer, Source As _
    Control, X As Single, Y As Single)
Dim tmp As String

    If Not (TypeOf Source Is Label) Then Exit Sub

    tmp = Label1(Index).Caption
    Label1(Index).Caption = Source.Caption
    Source.Caption = tmp
End Sub