Well I figured it out...
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/vbcon/html/vbcongroupingcontrolstofunctionasset.asp
said
"You group radio buttons by drawing them inside a container such as a Panel control, a GroupBox control, or a form. All radio buttons that are added directly to a form become one group. To add separate groups, you need to place them inside panels or group boxes."
So I added 2 panels to the form, and moved the radio buttons to corresponding panels, and the error went away.
I think if you have only a few radio buttons, or your hand is faster than your brain and can paste/copy/modify mechanically (as I am), the following seems way simpler. (no need to create an array)
1. Add all radio buttons. If needed, separate them by groupboxes or panels (.NET compact does not seem to have groupboxes.)
2. Add an event handler to one of the radio buttons as stated in the tutorial, and just add the name of the other radio buttons after "Handles" (see below)
3. And use if elseif ...
Private Sub RadioButton1_CheckedChanged(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles RadioButton1.CheckedChanged, RadioButton2.CheckedChanged
If (RadioButton1.Checked) Then
Label2.Text = RadioButton1.Text
ElseIf RadioButton2.Checked Then
Label2.Text = RadioButton2.Text
End If
End Sub
Private Sub RadioButton3_CheckedChanged(ByVal sender As Object, ByVal e As System.EventArgs) Handles RadioButton3.CheckedChanged, RadioButton4.CheckedChanged
If (RadioButton3.Checked) Then
Label3.Text = RadioButton3.Text
ElseIf RadioButton4.Checked Then
Label3.Text = RadioButton4.Text
End If
End Sub