May not be the only (or even easiest) way but the following snippet shows how to use the StackTrace and StackFrame classes to get at this kind of information. It actually gets the methodname, filename and linenumber and displays them in a messagebox.
Dim st As New StackTrace(0, True) 'will record this line number
Dim sf As StackFrame = st.GetFrame(0)
MessageBox.Show(String.Format("File {0}, Method {1}, Line {2}", _
sf.GetFileName(), sf.GetMethod().Name, sf.GetFileLineNumber()))
The following two links explain more on StackTrace and StackFrame
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpref/html/frlrfSystemDiagnosticsStackTraceClassctorTopic8.asp
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpref/html/frlrfsystemdiagnosticsstacktraceclassgetframetopic.asp
If you are using this a lot then you may want to wrap it in a function or class - in that case you will probably want to use st.GetFrame(1) to get the details of the calling function. Play around with the numbers and it will become clear.