Making a custom control wouldn't be too bad. I would inherit from Panel or a Usercontrol as I believe both automatically add scrollbars for the content.
Dynamically adding containers (like PictureBoxes) and captions for each image, handling the mousedown or mouseclick event for the container and perhaps drawing a red square around it to show that it is selected. The "hardest" part would be resampling the image to 128x128 if they are not already that size and even that can easily be with GDI+.