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"