Sorry this is shooting with a gun to ants
Hum... Parsing through the Controls is somewhat dangerous. You never know what you'll find... What if other LinkButtons are also present in the page ? You'll be shooting at flies with the intent of killing ants !!

I stick to what I said. A simple member variable will do the job with the less amount of code, memory, and processing. And maximum robustness !!

Code:
private LinkButton currentlySelectedLinkLabel;

protected void CreateSetOfLinklabels()
{
    // Add label with corresponding page no
    for (int i = 1; i < miPages + 1; i++)
   {
      ...
      mLbtnPage.ForeColor = your "not selected" color;
      ...

      // Current page
      if (Convert.ToInt32(mLbtnPage.ID) == miSelectedPage)
      {
         SelectLinkLabel(mLbtnPage);
      }
   }
}

void mLbtnPage_Click(object sender, EventArgs e)
{
   SelectLinkLabel(sender as LinkButton);
}

private SelectLinkLabel(LinkButton linkLabel)
{
   if (currentlySelectedLinkLabel != null)
   {
      currentlySelectedLinkLabel.ForeColor = your "not selected" color;

      ... other processing...
   }

   currentlySelectedLinkLabel = linkLabel;

   if (currentlySelectedLinkLabel != null) // This allows to call this method with null to deselect everything
   {
      currentlySelectedLinkLabel.ForeColor = your "selected" color;

      ... other processing...
   }
}