In the designer, click the control of interest.
In the properties window (hit F4 to bring it up), there should be a little lightning bolt icon. Clicking the icon takes you to the list of available events for that control. Double-clicking the event name will wire up a stub handler and take you to the code-behind for it.
Edit: the astute reader will see that the posted screenshot is for a web app (whups), but it’s the exact same thing for a winforms app.