When I add [5] instead of [], I get the error at this line:
Code:

PictureBox* picBlocks[];


error C3616: '5': a size cannot be specified in a __gc array declaration
This is funny. But as I said don't know anything about this "__gc" thingy.
But I guess that should work
Code:
for(int i = 0; i < 5; i++)  {
    PictureBox* picBlock = new PictureBox();
    pnlGameField->Controls->Add( picBlock );
   // here you can work with the newly created block
}
Kurt