[Black Raider]

Как то так:

Код:

unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, StdCtrls;

type
  TForm1 = class(TForm)
    Label1: TLabel;
    Label2: TLabel;
    Label3: TLabel;
    procedure FormKeyUp(Sender: TObject; var Key: Word;
      Shift: TShiftState);
    procedure FormCreate(Sender: TObject);
  private
    FlabelSelect: TLabel;
    FlabelNo: integer;
    { Private declarations }
  public
    { Public declarations }
    property labelSelect:TLabel read FlabelSelect write FlabelSelect;
    property labelNo:integer read FlabelNo write FlabelNo;
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.FormKeyUp(Sender: TObject; var Key: Word;
  Shift: TShiftState);

begin
labelselect.Color:=clBtnFace;

if key= VK_DOWN then begin
  if labelNo=3 then labelNo:=0;
  labelNo:=labelNo+1;
end;

if key= VK_UP then begin
  if labelNo=1 then labelNo:=4;
  labelNo:=labelNo-1;
end;

labelselect:=(FindComponent('Label'+inttostr(labelNo)) as TLabel);
labelselect.Color:=clNavy;

if key=VK_RETURN then begin
  showmessage('Enter Press '+labelSelect.Name);
  //labelSelect.OnClick(self); //Îáðàáîò÷èê êîòîðûé onClick íà label
end;

end;

procedure TForm1.FormCreate(Sender: TObject);
begin
labelSelect:=label1;
labelselect.Color:=clNavy;
labelNo:=1;
end;

end.