Instead of implementing System.Web.UI.ICallbackEventHandler as shown in http://msdn.microsoft.com/en-us/library/ms178209.aspx use DNN API. Something like:

Imports DotNetNuke.UI.Utilities

Partial Class DesktopModules_MyModule

    Inherits DotNetNuke.Entities.Modules.PortalModuleBase

    Implements DotNetNuke.UI.Utilities.IClientAPICallbackEventHandler

    Protected Sub Page_Load(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.Load

        Dim callBack As String = ClientAPI.GetCallbackEventReference(Me, "arg", "ClientCallback", "context", "ClientCallbackError")

        Dim clientFunction As String = vbCrLf & "<script type=""text/javascript"">" & vbCrLf & _

        "function sendMsgToServer(arg, context){ " & callBack & "}" & vbCrLf & "</script>"

        ClientAPI.RegisterClientScriptBlock(Me.Page, "sendMsgToServer", clientFunction)

    End Sub

    Public Function RaiseClientAPICallbackEvent(ByVal EVENT_ARGUMENT As String) As String _

    Implements DotNetNuke.UI.Utilities.IClientAPICallbackEventHandler.RaiseClientAPICallbackEvent

        Return "HELLO: " & EVENT_ARGUMENT

    End Function

End Class

More documentatio on DotNetNuke Client API Client Callback ( http://www.dotnetnuke.com/LinkClick.aspx?fileticket=UBUhCCpW1d0%3D&tabid=478&mid=857 )

Best regards,

Zex