Once knowing SQLCLR you'll know there is a new avenue to programming. This article explains in details may be better than mine. As usual all authors stick to C# language and there's hardly any VB.NET sample for SQLCLR. If anyone would be interested to create a SQLCLR for SQL Server using Visual Basic.NET, may check steps and sample code at http://www.rajavenkatesh.com/DamLevDisDescription.aspx.
Please note I'm not trying to advertise here but to give link to folks who wish to do it VB.NET way.
Thanks
RV