I believe the following VB.Net code is the equivalent of the proceeding C# code; however the VB.Net test fails - the event handling Lambda is never called.
What is going
Long story short, you cannot do that in VB for the time being (it is on the list of features considered for next release). You have to use a declared method and the AddressOf operator.
The VB team did not have the time to include anonymous delegates in the language (which is what you are trying to use, technically not a lambda expression).
Lambda expressions they had to implement so that Linq can actually work. Anonymous delegates are not required by anything (but would be quite useful). I guess they spent more time on wrapping up things like Linq To XML and XML litterals and integrating more query operators in the syntax...