You're going about this all wrong. You should start with a Phone class:
vb.net Code:
  1. Public Class Phone
  2.  
  3.     'Member declarations here.
  4.  
  5. End Class
You should then define a class that represents a collection of Phone objects:
vb.net Code:
  1. Public Class PhoneCollection
  2.     Inherits System.Collections.ObjectModel.Collection(Of Phone)
  3. End Sub
The PhoneCollection inherits everything it needs from the Collection class, like Add and Remove methods and an Item property. You would then declare a property in your Exchange class of that type:
vb.net Code:
  1. Public Class Exchange
  2.  
  3.     Private _phones As New PhoneCollection
  4.  
  5.     Public ReadOnly Property Phones() As PhoneCollection
  6.         Get
  7.             Return Me._phones
  8.         End Get
  9.     End Property
  10.  
  11.     'Other declarations here.
  12.  
  13. End Class
You would then add a new Phone to an Exchnage like this:
vb.net Code:
  1. Dim myPhone As New Phone
  2.  
  3. myExchange.Phones.Add(myPhone)
The PhoneCollection already has a IndexOf method too, so your method with the silly name is not required.

You could then add a method to your PhoneCollection named FindByNumber that would find a Phone object given a phone number. Etc., etc.