To add VB.NET syntax highlighting in jEdit 4.1 (and likely other versions), download the XML file in the "download" link from this page, and stick it in your [jEdit home]\modes directory.

Then find the file called "catalog" in that same directory and add this line:
<MODE NAME="vb_net" FILE="vb_net.xml" FILE_NAME_GLOB="*.{vb}" />

Note that that should be inserted between the <modes> and </modes> tags, of course.