I created a VB.NET Windows Forms Application in Visual Studio 2008. When I run my program from the command-line, I get no output (only the next prompt).
Tested similar code with a C# .NET Windows Form Application. Outputs and beeps nicely within Visual Studio but only beeps when run at the command line.
If I change the Output Type to Console Application under the Application tab for the Project properties, I get to use both the form and console :)