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
Timer1.Enabled = False ' Make sure we don't start multiple loops.
Call GameLoop() ' Begin the loop!
Do While Running
' Update your game data here.
' Redraw here.
DoEvents ' Make sure that you don't hog the CPU.
This method allows you to create a sort of multi-threading in Visual Basic without the complexity of API calls.