Sounds like it is crashing. Have you tried the SP1 version of VB 2008 express?
I would recommend to debug the program to determine exactly what line of code is causing the problem. Then, if it is an SQL query, try running the query from another application, or directly against the database to see what happens.
When you have determined the ‘problematic’ query, post it in the discussion section, and tell us what database you are using, and we might be able to offer more help.
I have seen similar problems when connecting to Oracle databases and executing queries involving synonyms whose underlying table has been dropped.