Ok after adding references to System.Management and System.Management.Instrumentation, I made some changes to the code, in order to fix several errors (concatenation operator cannot be used on Object etc.)

Code:
Imports System.Management

Public Class Form3
    Private WithEvents m_MediaConnectWatcher As ManagementEventWatcher
    Public USBDriveName As String
    Public USBDriveLetter As String

    Private Sub Form1_Load(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.Load
        StartDetection()
    End Sub

    Private Sub Form3_FormClosed(ByVal sender As Object, ByVal e As System.Windows.Forms.FormClosedEventArgs) Handles Me.FormClosed
        m_MediaConnectWatcher.Stop()
        m_MediaConnectWatcher.Dispose()
    End Sub

    Public Sub StartDetection()
        Dim query2 As New WqlEventQuery("SELECT * FROM __InstanceOperationEvent WITHIN 1 " & "WHERE TargetInstance ISA 'Win32_DiskDrive'")

        m_MediaConnectWatcher = New ManagementEventWatcher
        m_MediaConnectWatcher.Query = query2
        m_MediaConnectWatcher.Start()
    End Sub

    Private Sub Arrived(ByVal sender As Object, ByVal e As System.Management.EventArrivedEventArgs) Handles m_MediaConnectWatcher.EventArrived
        Dim mbo As ManagementBaseObject
        Dim obj As ManagementBaseObject

        mbo = CType(e.NewEvent, ManagementBaseObject)
        obj = CType(mbo("TargetInstance"), ManagementBaseObject)

        Select Case mbo.ClassPath.ClassName
            Case "__InstanceCreationEvent"
                If obj.Item("InterfaceType").ToString = "USB" Then
                    USBDriveName = obj.Item("Caption").ToString
                    USBDriveLetter = GetDriveLetterFromDisk(obj.Item("Name").ToString)
                    MessageBox.Show(USBDriveName & " (Drive letter " & USBDriveLetter & ") has been plugged in")
                End If
            Case "__InstanceDeletionEvent"
                If obj.Item("InterfaceType").ToString = "USB" Then
                    MessageBox.Show(USBDriveName & " was disconnected. " & USBDriveLetter & " is now inaccessible.") 'GetDriveLetterFromDisk(obj.Item("Name").ToString))
                    If obj.Item("Caption").ToString = USBDriveName Then
                        USBDriveLetter = ""
                        USBDriveName = ""
                    End If
                End If
            Case Else
                MessageBox.Show("nope: " & obj.Item("Caption").ToString)
        End Select
    End Sub

    Private Function GetDriveLetterFromDisk(ByVal Name As String) As String
        Dim oq_part, oq_disk As ObjectQuery
        Dim mos_part, mos_disk As ManagementObjectSearcher
        Dim obj_part, obj_disk As ManagementObject
        Dim ans As String = ""

        Name = Replace(Name, "\", "\\")

        oq_part = New ObjectQuery("ASSOCIATORS OF {Win32_DiskDrive.DeviceID=""" & Name & """} WHERE AssocClass = Win32_DiskDriveToDiskPartition")
        mos_part = New ManagementObjectSearcher(oq_part)
        For Each obj_part In mos_part.Get()

            oq_disk = New ObjectQuery("ASSOCIATORS OF {Win32_DiskPartition.DeviceID=""" & obj_part.Item("DeviceID").ToString & """} WHERE AssocClass = Win32_LogicalDiskToPartition")
            mos_disk = New ManagementObjectSearcher(oq_disk)
            For Each obj_disk In mos_disk.Get()
                ans &= obj_disk.Item("Name").ToString & ","
            Next
        Next

        Return ans.Trim(","c)
    End Function
Please note that the ManagementEventWatcher must be disposed of when the form is closed, otherwise an exception is thrown.