Public WithEvents s_Help As SubclassHWND
...
    Dim hwndHelp As IntPtr = HTMLHelp_str(Me.Handle, path_help, _
     HH_GET_WIN_HANDLE, "ProgaHelp")
    If IsNothing(s_Help) = False Then
      s_Help.ReleaseHandle()
    Else
      s_Help = New SubclassHWND()
    End If
    s_Help.AssignHandle(hwndHelp)
...

  Private Sub s_Help_CallBackWndProc(ByRef m As System.Windows.Forms.Message, ByRef Cancel As Boolean) _
   Handles s_Help.CallBackWndProc
    Select Case m.Msg
      Case Else
        Debug.WriteLine(m.ToString)
    End Select
  End Sub

'==============================
Imports System.Runtime.InteropServices

Public Class SubclassHWND
  Inherits NativeWindow

  'Event Declaration. This event will be raised when any  
  'Message will be posted to the Control
  Public Event CallBackWndProc(ByRef m As Message, ByRef Cancel As Boolean)

  Protected Overloads Overrides Sub WndProc(ByRef m As Message)
    Dim Cancel As Boolean = False 'по умолчанию обрабатывать сообщение
    RaiseEvent CallBackWndProc(m, Cancel)

    ' если обрабатываем (cancel=False), то forward message to base WndProc
    If Not Cancel Then MyBase.WndProc(m)

  End Sub

End Class