There are multiple ways of creating that sort of loop in Visual Basic.

One of the best methods is to create a Timer which, upon its first call, calls a Sub or Function which contains your main game loop, something like this:

Dim Running As Boolean

Sub Timer1_Timer()
Timer1.Enabled = False ' Make sure we don't start multiple loops.
Call GameLoop() ' Begin the loop!
End Sub

Sub GameLoop()
Do While Running
   ' Update your game data here.
   ' Redraw here.
   DoEvents ' Make sure that you don't hog the CPU.
End Sub

Sub Form_Unload()
End Sub

This method allows you to create a sort of multi-threading in Visual Basic without the complexity of API calls.