In the example you linked to, you can forget about the CList class... it's completely unnecessary and only there for the comfort of that writer.

Again, using the example of the code you linked to, this is all you need to do to close the loop of a linked list:

Code:
Private Sub CloseLinkedList(startNode As CLink)
   Dim node as CLink

   If Not (startNode Is Nothing)
      Set node = startNode

      'Iterate to the end of the linked lsit
      While Not (node.MyNext Is Nothing)
         Set node = node.MyNext
      Until 

      'Close the loop
      Set node.MyNext = startNode
   End If
End Sub