ecco una soluzione un pò rozza ma che fà quello che vuoi:

codice:
Public Class Form1
    Dim oldLocation As Point

    Private Sub Form1_Load(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.Load
        oldLocation = Me.Location
    End Sub

    Private Sub Form1_LocationChanged(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.LocationChanged
        If Me.Location.X < 0 OrElse Me.Location.Y < 0 Then
            Me.Location = oldLocation
        Else
            If Me.Location.X + Me.Size.Width > My.Computer.Screen.Bounds.Width OrElse Me.Location.Y + Me.Size.Height > My.Computer.Screen.Bounds.Height Then
                Me.Location = oldLocation
            Else
                oldLocation = Me.Location
            End If
        End If
    End Sub
End Class