Добавьте referenco к "System.Data.dll", а затем напишите в модуль:
Public Sub TestSql()
Dim cnn As New System.Data.SqlClient.SqlConnection("your connectionstring")
Dim cmd As System.Data.SqlClient.SqlCommand = cnn.CreateCommand()
cmd.CommandText = "INSERT INTO [MyTable] ( MyColumn ) VALUES ( @MyColumn )"
cmd.Parameters.AddWithValue("@MyColumn", "Hello World!")
cnn.Open()
cmd.ExecuteNonQuery()
cnn.Close()
End Sub