You aren't passing anything to the constructors, so what's wrong with:
Code:
PictureBox* picBlocks = new PictureBox[5];
for(int i = 0; i < 5; i++)
pnlGameField->Controls->Add(picBlocks[i]);
EDIT: Oh, wait. Do you want an array of pointers?
Maybe change your "PictureBox* picBlocks[]" to "PictureBox** picBlocks" and allocate the same way. Like this:
Code:
PictureBox **picBlocks = new PictureBox*[5]; // Pointer to array of 5 pointers
for(int i = 0; i < 5; i++)
pnlGameField->Controls->Add(picBlocks[i]);
EDIT 2: Sorry for all the edits, hope I'm not screwing with your head if you're looking at it right now.