This is how I have handled the NewWindow. Set a reference to Microsoft Internet Controls on the COM tab of the Add Reference Dialog and use code similar to this:
Code:
  Private Sub Form1_Load(sender As System.Object, e As System.EventArgs) Handles MyBase.Load
    WebBrowser1.Navigate("http://www.vbforums.com")
    Dim activeXBrowser As SHDocVw.WebBrowser = CType(WebBrowser1.ActiveXInstance, SHDocVw.WebBrowser)
    AddHandler activeXBrowser.NewWindow3, AddressOf axBrowserNewWindow3
  End Sub

  Private Sub axBrowserNewWindow3(ByRef ppDisp As Object, ByRef cancel As Boolean, dwflags As UInteger, bstrUrlContent As String, bstrUrl As String)
    Dim frm As New Form1
    frm.Show()
    frm.WebBrowser1.Navigate(bstrUrl)
    cancel = True
  End Sub

  Private Sub WebBrowser1_NewWindow(sender As Object, e As System.ComponentModel.CancelEventArgs) Handles WebBrowser1.NewWindow
    e.Cancel = True
  End Sub