Form_Load or SubMain for game loop

I was just looking at a site with DirectX for VB tutorials. The first one explains how to get started, getting a DX window up and running.

The part I am curious about is the main game loop and garbage collection is in the Form_Load event which means the Form_Load procedure doesn't end until the app has ended.

In some tutorials I have seen the game loop in a module in a SubMain procedure.

Which is better Form_Load or SubMain?

For a small program, or an example, use Form_load, for a big program, put all your code in modules and you can use sub_main to call the beginning, then form1.show or w/e. I think sub_main is a little faster because it loads the code right away.