Well, I went in to Visual Studio and did the following to create the module:
In Solution Explorer right clicked the root item and selected Add New Item.
Then clicked DotNetNuke Dynamic Module.
Gave it a name and Language is set to Visual Basic.
Clicked Add and Visual Studio and the Starterkit did the rest.
Then I go in and wander through the module and do the code thing.
Then I go in to the site add my newly created DNN Dynamic Module to the page and there I have it.
This is the only method I know of creating a module, being new to .Net.
On the DNN site I'm working on, I have frontpage extensions installed so I'm dealing directly with the development system through that. I did set a break point, clicked on Debug and start debugger then it goes off and fetches files then comes back with a heap of errors about missing DNN source files, downloaded the source and it is still complaining.
Thanks for any help. :)