If I understand your question correctly, what you want is to be able to right-click on a file on the desktop or in a folder window, and in the right-click menu, have an open option to open it with your program. This is not a visual Basic.net issue, but an issue with Explorer (and with the registry).
The easy way to do this is from any directory, click on View, click on "Folder Options" in the new window, then click on the file types tab.
Find the extension and you can add your option there.
If you need a file to set this up for a program you're running to be able to do this, you need to create a registry entry. Here's how you do that.
What is required is that you need to have the file type registered for your program. First, the file extension has to be registered. Let's make up a file extension type, say, .question, so that any time a file with the extension ".question" is double-clicked upon, it will be opened by a program. Or you can have other right-click options, too.
There needs to be a key in the registry like this:
HKEY_CLASSES_ROOT\.question
the (default) value for this key is the information about what is to be done with files of type .question. Let's call the value "QuestionFile".
There is then needed a registry key to tie the link to that entry:
HKEY_CLASSES_ROOT\QuestionFile
the (default) value is the description, let's call the value "Miscellaneous Questions".
You need to be able to access it from the shell by clicking on it, so you need a subkey
HKEY_CLASSES_ROOT\QuestionFile\shell
the (default) value is what is the command to execute for double click, the "default" action. Now, if it already has an action defined, there will be a sub folder with that name. Let's say that there will be three options for files of .quiestion, to Ask, to Answer, and to Comment; Answer will be the default, but when you right click on a .questions file, there will be a pop-up menu and you can use Alt-A to Ask, Alt-W to answer, and Alt-C to comment. You'll run a different program for each.
In the window below is an example of the keys and values set up in the registry as a result.
This only needs to be set up once, now, if you want this set up for a program being installed places, you need to have your installer set up the registry keys. If you copy the file below in notepad, save it as a file ending in .REG, then right-click on it, it will install a registry entry to provide this feature, then you can look at it and see how it works.
What's most important in these is the %1 field, which is the name of the file which has been clicked upon; that is then passed to the program being executed. In VB you can get the file name passed as a parameter through the Command() function.