Making an object "selected" at runtime

I have run into a little problem.
My program allows to place a few labels generated at runtime on a panel.
I would like to be able to delete the label by clicking on the label
(selecting it) and then pressing DEL button.
The problem is that I can't select the label. On the other hand delphi's IDE
allows selecting any of the objects.
In my program I would like to be able to select labels (and other objects)
the same way you can select icons on the desktop.

Do you know how to do that ?

BTW: My helpfile to delphi is damaged - can you tell me what does property
FocusControl do ?

Thank you in advance.