When you create the buttons, assign their Tag property their index number in the array. Also, as you create them, you need to wire up their Click events:
AddHandler btnArray(index).Click, AddressOf myEventFunction
Then you create your event handler function:
Private Sub myEventFunction(ByVal sender As System.Object, ByVal e As System.EventArgs)
Dim btnSender As Button
Dim intIndex As Integer
btnSender = CType(sender, Button)
intIndex = CType(btnSender.Tag, Integer)
MsgBox(intIndex)
End Sub