xion.truth,
Do you mean you want to install the compiled project from VB.NET? Certainly it is possible. When you make a new project and compile successfully, just right click the solution name, choose the Public item, then the whoe project will be shown as:
This is just an example. There are four options you can choose to publish: Disk path, File share, FTP Server, Web site. In the publish page ,you can see the version of your project, and there is a bbutton below that you can install your published project on your computer. This is a kind of technology called Click Once on .NET Frameword which is new in .NET Framework 2.0.