I don't believe this is Linq... it looks more like an anonymous delegate being (created using a lambda) assigned as an event handler.
It's difficult to tell you how to do this with a straight lambda in VB because we can't see what the lambda is doing from the post above. The simplest workaround I can think of is to declare a sub (event handler) that does what this lambda is doing. Then you can simply use an "AddHanlder" to attach the handler to the event: