First of all, you need to install the SMTP server on your web server, and configure it to listen.
There is an excellent MSDN article titled "How to: Install and Configure SMTP Virtual Servers in IIS 6.0" which explains every step in a clear manner. And note that this is not done on the client machine (because you say VB.Net windows application). This has to be done on the webserver. So you need to connect to a webserver from your windows application, which inturn will send mails through the newly configured SMTP Server. See below for a clear explanation.
Hope this helps.