I downloaded the sample code and found out that there is a bug in the VB sample:
In the GameEngine_Load event handler, instead of:
Me.SetStyle(ControlStyles.AllPaintingInWmPaint And ControlStyles.Opaque, True)
It should be:
Me.SetStyle(ControlStyles.AllPaintingInWmPaint Or ControlStyles.Opaque, True)
i.e. "Or" instead of "And"