After reading A post by Sergio Pereira I thought about translating his code to VB.Net because as usual all the cool things are written in C#.
So this piece

    using(StreamReader rd = File.OpenText("Data.txt"))  
    {  
        string line = rd.ReadLine();  
        while(line != null)  
        {  
            DoSomething(line);  
            // do more stuff with the line text  
     
           //move on  
           line = rd.ReadLine();  
       }  
   }  

Becomes

Dim rd As System.IO.StreamReader = System.IO.File.OpenText("Data.txt")
        Using (rd)

            Dim line As String = rd.ReadLine()
            While (line IsNot Nothing)

                dosomething(line)
                ' do more stuff with the line text  

                'move on  
                line = rd.ReadLine()
            End While
        End Using

and the next bit

    public static class FileUtil  
    {  
        public static void EachLine(string fileName, Action<string> process)  
       {  
           using(StreamReader rd = File.OpenText(fileName))  
           {  
               string line = rd.ReadLine();  
               while(line != null)  
               {  
                   process(line);  
                   line = rd.ReadLine();  
               }  
           }  
       }  
   }  

will translate in

Public Class FileUtil

    Public Shared Sub EachLine(ByVal fileName As String, ByVal process As Action(Of String))
        Dim rd As System.IO.StreamReader = System.IO.File.OpenText(fileName)
        Using (rd)

            Dim Line As String = rd.ReadLine()
            While (Line IsNot Nothing)

                process(Line)
                Line = rd.ReadLine()
            End While
        End Using
    End Sub
End Class

And we call that last piece of code like this

FileUtil.EachLine("Data.txt", AddressOf dosomething)

The doSomething method would look something like this

Private Sub dosomething(ByVal line As String)
        MessageBox.Show(line)
    End Sub

And that's it.