You need to use a sqlcommand object. Something like this:
Dim cn As New SqlConnection(sConn)
Dim cmd = New SqlCommand("Procedure", cn)
Dim parm = New SqlParameter("@RETURN_VALUE", SqlDbType.Int, 4,
ParameterDirection.ReturnValue, False, 9, 0, "", DataRowVersion.Default, 0)
cmd.Parameters.Add(parm)