this is not correct, the source code is usually zipped inside in a modulename.resources or resources.zip file, that should automatically get unpacked during installation. Please be aware, that many of the modules, even fron the core, are still DNN 3 modules, that are able to run with DNN 4, but you need DNN3, ASP.net 1.1 and VS2003 to edit them or migrate them yourself to DNN4.

Ok, we must precise now what is zipped inside and what is usual. So far I know a lot (most ?) modules aren't using a zipped 'vb resources" file. Some of the modules are using this functioning but the real point on this discussion apart from you are needing vb files in your project is what are you doing with the source code.
When you only want to use this module just install it - if you're interested in the code (how it works ...) just unzip the module and make it as a standalone project - if you're intend to maintain the module for the future with some special funtionality from you, migrate it to DNN4 and prepare the VS2005 thus you're able deploy the module as a package. In the beginning it's a some effort but helps you for the future a lot.