I was going to post here a sample VB project using DirectX, but I remembered there's an easier solution.
Download #Develop from http://icsharpcode.net/OpenSource/SD/Default.aspx -- it has a template for DirectX already set up. To use it, you need three things:
1. Either Microsoft's .NET Runtime 2.0 or Mono 2.0
2. DirectX 9 (XP) or DirectX 10 (Vista) from http://www.microsoft.com/downloads/browse.aspx?displaylang=en&productID=9C954C37-1ED1-4846-8A7D-85FC422D1388 (the SDK and/or REDIST will install the support -- better to install the SDK, so you can get help if you need it)
3. #Develop or Visual Studio -- #Develop has a template, Visual Studio does not. The two use interchangeable project formats.
Alternatively, with the Microsoft toolset go here:
http://microsoft.com/xna
That will give you the XNA toolset, which allows you to write code in any managed language (including C#, VB.NET, Python, PHP, C++, Delphi -- whatever language floats your boat and is applicable to the target) and deploy to the following devices:
1. Windows Computers
2. XBox 360
3. Zune MP3 Player
The XBox 360 support requires whoever owns the XBox to pay an extra premium to play "Creator's Club" games. Zune currently doesn't require this extra premium.
Alternatively, if you're writing a new engine from scratch, TAO from the Mono project is a good option. TAO uses SDL, a highly portable 2D graphics platform, and has bindings for OpenGL and a large number of other highly portable libraries. As a result, code in any .NET programming language compiled against TAO is itself highly portable -- it will run, from the same executable, on MacOS X, Linux and Windows.
If it is desired to run against Mono on non-Microsoft OS, then avoid DirectX -- DirectX is a Microsoft proprietary technology, not supported on non-Microsoft platforms. OpenGL is widely supported and, additionally, offers the entire DirectX 10.1 feature set on Windows XP with nVidia and ATI drivers. OpenGL is driven by the video card companies in conjunction with industry partners from CAD-CAM and video game companies, not by Microsoft. It is easier to introduce proprietary extensions, it is easier to introduce agreed-upon standard extensions, and generally the video card companies are fully supporting their chipsets features on that side.
On Windows Vista and later -- as well as all Linux distros and MacOSX -- you should use OpenAL in some form for audio. Either directly via C++, TAO's OpenAL support (from .NET languages) or via a library like fmod. Pure and simple, on Windows Vista the driver natively speaks OpenAL. DirectSound goes through a compatibility library that invokes OpenAL. On Windows XP, you should install Creative Labs OpenAL driver (which works with all sound cards), and on Creative Labs cards, that card will bypass DirectSound and talk straight to the hardware. On non-Creative Labs cards, it will route through DirectSound.