Try doing this:
Dim LinkButton as New LinkButton()
LinkButton.Text = "Link Text"
LinkButton.ID = "LinkID"
FormName.Controls.Add(LinkButton)
AddHandler LinkButton.Click, AddressOf MyClickHandler
...
Private Sub MyClickHandler(sender as Object, e As eventArgs)
DoSomething()
End Sub
The AddHandler "wires" the MyClickHandler to the Click event, so that
when the linkbutton is clicked, MyClickHandler is called.