I believe you can do the following in VB.
In same place as your code to create the item, you should be able to do the following:
Then you can write the event handler similar to:
sender, EventArgs e)
//Your Code Here
If not, in VS, you should be able to type Item.Click += and then hit tab twice and it should generate the event handler for you. If you already have the event handler setup, you'll only need to replace Item_Click with the name of your event handler.