I solved it..What i made is that

I split the string and get 3 separate values from it, and I create a comma-separated string with those values.

Code:
For z As Integer = 0 To CSCode.Length - 1 Step 3
     myString &= "'" & CSCode.Substring(z, 3) & "'"
     If z < CSCode.Length - 4 Then myString &= ","
Next

Then I use the IN operator in your SQL:

SELECT Classification FROM Classification WHERE ClassCode IN(" & myString & ")


Thanks for the effort everyone. Have a nice day and God Bless..