You need to tell DirectX to manage your Z-Buffer - then it can handle depth correctly. clicky has a good tutorial on Z-buffer use.
I've updated your game.vb class and attached it - if you compare this one to your copy you will see the differences mainly
'added to your initialize routine
D3Dpp.EnableAutoDepthStencil = True
D3Dpp.AutoDepthStencilFormat = DepthFormat.D16
and
'Used to clear the device
D3Ddev.Clear(ClearFlags.Target Or ClearFlags.ZBuffer, bgColor, 1, 0)
and also
'following line modified in SetupMatrices
D3Ddev.Transform.Projection = Matrix.PerspectiveFovLH(Math.PI / 3.0F, 1.0F, 1.0F, 10.0F)
GameClass.zip