How do I change color of picturebox choose by another form picturebox

Try these steps:

Step 1: First off let us start with a blank project for learning purposes.
So start by creating a new project and name it what ever you want.
After the project loads, proceed to step 2.

Step 2: Go ahead and add a second form to your project. Maybe call this form frmColorPicker. On frmColorPicker, Add the number of pictureboxes you want for the color palette and set their BackColor properties to the desired colors.
    -Double click any of the PictureBoxes to bring up the Code Editor. You will notice that it will bring up the PictureBoxes's Click Handler.
    -On the line where it says Private Sub Picturebox_Click.....Handles...
we are going to tell the parser that this Sub Procedure will handle more than one object's click event by appending each object name separated by a comma

Private Sub PictureBox1_Click(sender As Object, e As System.EventArgs) Handles PictureBox1.Click, PictureBox2.Click '<--This is where we append the objects
    ActivePbox.BackColor = sender.backcolor
    Me.Close()
End Sub

    -Also while we are in the code editor, Go ahead and add the code below

Dim ActivePbox As PictureBox
Public Function SelectColor(PictureboxToChange As PictureBox)
    ActivePbox = PictureboxToChange
    Me.ShowDialog()
End Function

    -And add the code from the click event handler from above inside the picturebox's click event handler.

Step 3: Go back to Form1. Add the pictureboxes you want to the form.
    -Double click one of the pictureboxes to open the code editor. You will notice again that the click event handler will be there. Go ahead and append the other pictureboxes like you did in step 2.
    -Here we will add the following code.

frmColorPicker.SelectColor(sender)

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CHECK YOUR CODE:
Form1 code should look similar to the following code:

Public Class Form1

    Private Sub PictureBox1_Click(sender As System.Object, e As System.EventArgs) Handles PictureBox1.Click, PictureBox2.Click, PictureBox3.Click, PictureBox4.Click
        frmColorPicker.SelectColor(sender)
    End Sub

End Class

frmColorPicker code should look similar to the following code:

Public Class frmColorPicker
    Dim ActivePbox As PictureBox
    Public Function SelectColor(PictureboxToChange As PictureBox)
        ActivePbox = PictureboxToChange
        Me.ShowDialog()
    End Function

    Private Sub PictureBox1_Click(sender As Object, e As System.EventArgs) Handles PictureBox1.Click, PictureBox2.Click
        ActivePbox.BackColor = sender.backcolor
        Me.Close()
    End Sub
End Class

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Does this help you to do what you are wanting?