To get the icon into the system tray use the System.Windows.Form.NotifyIcon class. Then you have to add a context menu object to the icon, using the ContextMenu property orf the icon.
Dim mnu As New ContextMenu
mnu.MenuItems.Add("Hello") 'there is also an overload that accepts an event handler so you can use that
trayicon.ContextMenu = mnu
You also will have to set an icon image for the icon.
trayicon.Icon = new Icon("path")
Also, you have to make it visible.
trayicon.Visible = True
Now, to make that happen, you can start your program from sub Main. Forst declare the tray icon and the menu, then use the Application.Run() method to start the message loop for your app.