Попробуйте DateTime.ParseExact()
Пример из MSDN с вашими данными:
Dim dateString, format As String
Dim result As Date
Dim provider As Globalization.CultureInfo = Globalization.CultureInfo.InvariantCulture
' Parse date and time with custom specifier.
dateString = "20090910"
format = "yyyyMMdd"
Try
result = Date.ParseExact(dateString, format, provider)
Console.WriteLine("{0} converts to {1}.", dateString, result.ToString())
Console.ReadLine()
Catch e As FormatException
Console.WriteLine("{0} is not in the correct format.", dateString)
End Try