The implementation is slightly different in VB than it is in C#. In C#, you just add the code to the Program.cs and run it prior to the first form being displayed.
In VB, the best place to call this is in the Application Startup event. This video will show you exactly how to do that.
This download contains the sample code in VB (VS2008) as well as a Word document with the same information as the video.
[Edit 7/7/2011 Move zip file to Azure blob storage]
[Edit 3/8/2015 Move to different Azure blob storage account]