The Debug.Write and Debug.WriteLine statements send output to the Immediate window. If it's not visible you can find it by opening the Debug menu, opening its Windows submenu, and selecting Immediate.
Probably the example programs are writing into the window but you don't have it visible so you're not noticing. These statements are good for displaying output without interrupting the program's flow.
MessageBox.Show displays a message in a dialog so you have to interact with it before the program can continue. It should work much like MsgBox does. If you want to include the piece of code where you do it, I can take a look at it.
Author of "Visual Basic 2005 Programmer's Reference"
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