Attached is a basic example of how to create a Wizard in VB.NET 2005.
Thanks to Atheist for pointing out the one thing I was not sure how to do and that is work with a collection of controls (formerly known as a control array.)
I am using five GroupBox controls for the Wizard. I chose those over Panels because I like the caption feature of the GroupBox.
This program does not actually do anything other than demonstrate how a Wizard should work.
For those of you that would like to see how this is done, but do not want to download the actual project, I put the salient portions of the code necessary in the second post of this thread.