Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As _
      System.EventArgs) Handles MyBase.Load
        Dim item1 As New ToolStripMenuItem("Datei")
        Dim subItem As New ToolStripMenuItem("Subitem")
 
        AddHandler item1.Click, AddressOf OnMenuItemClick
        AddHandler subItem.Click, AddressOf OnMenuItemClick
 
        item1.Items.Add(subItem)
        Me.MenuStrip1.Items.Add(item1)
    End Sub
 
    Private Sub OnMenuItemClick(ByVal sender As Object, ByVal e As EventArgs)
        MessageBox.Show("Klick")
    End Sub

Ralf