I have not succeeded in building totally from within in VS, but you can get a VB program to build and deploy by a combination of VS and command line, firstly by editing the .vbproj file and setting this in the first PropertyGroup:
Unfortunately, you also need to add /vbruntime- to the compiler command line, and I have not found the right place to do that from within VS (sorry, not a VB guy). Supposedly, you can add <NoVBRuntimeReference>True</NoVBRuntimeReference> to a PropertyGroup, but that didn't work for me. I had to copy the vbc command line (from a detailed output log) and manually add /vbruntime-, but that did give me a good compile.
Then I could use "Deploy" from Visual Studio to deploy to the board. Note that you also have to create a stub class for STAThreadAttribute as mentioned in the netmf posting.
I know that's sketchy guidance, but I don't really have a moment now to do it more step-by-step. If I get time tomorrow, I will write up something more definitive.