I don't agree with Sam, I think it's better to write the whole game in C++ (for shorter text I'll say "C" instead of "C/C++"), there are many things that are much easier to do in C. For example class heredity which is a very flexible and efficient way to make items, enemy types and such stuff... Of course you can do all of that in VB too, and since we have DirectX support it's nearly as fast as C (well, this depends on the game type ), but you'll probably have much more to do for the same things.
You may say: "But in C I have to code sooooo much more things, ie. create the window which is already done for me in VB..." ok, that's correct. But if you once wrote that in C you can use it every time you start a new project again.
However, I'd say there are many games you can do in VB, thats one of the reasons why I also code in VB (our serious projects are all in C). It really depends on you, but I'd recommend you to use C.

And btw, I personally prefer not to use VB things, the only objects I have are a window and a buffer where I draw in my game. And when using DDraw it's only a window...