imho there is a bit of a binary situation here : and there is no "one-liner." the only solution I can see is to get your controls that don't implement events into a .NET container that does.
When any control gets a click, the normal expected behavior is that it will become the Active Control of the Form (which can always be accessed by this.ActivceControl).
But, particulary if the control you clicked captures the mouse, something has got to raise an event since .NET does not implement event "bubbling" (as WPF does).
The usual way to deal with extending behavior of any object that is sealed or whatever is to write an extension method, and I have found writing extensions for Control quite easy, but I don't know if that will help you in this case. Unfortunately I am out of my home country right now, and do not have Visual Studio to play around with.
One strategy you can use to determine if a given Point on a Form falls within the bounds of any Control is to enumerate the areas (Bounds) of all controls on the Form via 'forall of the Forms Control.Collection (this.Controls). But, if you have overlapping Controls, you then have the issue of more than one control possibly containing a given point.
best, Bill