I have not used VB.NET and also have not used UDP with the EtherCard library, so I think I can't help you.
When testing something, create a new sketch to test that. If everything is working, combine it. You can add new files to the Arduino IDE, use the drop-down button on the right.
The normal situation would be this: Two Arduino boards connected to the same router. Both with the official W5100 ethernet shield. When data has to be transferred, and a few misses are okay, the UDP is right protocol for that. UDP is for example also used to get the time from a NTP server.
Perhaps you could try the HTTP protocol, or find a good and working project of EtherCard and UDP.