Dale,
You are using VS.NET 2002 or 2003 I presume. The feature you are talking about was/is called "Edit and Continue". Unfortunately, M$ decided to take it out of VB.NET 2002/03. I believe it will be coming back, in VS 2005, due to an overwhelming negative response from the VB community.
In 2003 you can turn "Edit and Continue" on in the Tools->Options->Debugging->Edit and Continue->"Allow me to edit VB files while debugging", unfortunately, this is not the same "Edit and Continue" of old. It will allow you to edit the file, then it will prompt you to "Edit and Continue" or "Edit and Restart". "Edit and Continue" basically continues execution as if you hadn't made any changes until you restart the debugging session. "Edit and Restart" stops execution and restarts the debugging session from the beginning.
Regards,
CG