Se invece di utilizzare il metodo My.Computer.Network.DownloadFile ti crei un tuo metodo puoi personalizzare la tua finestra tipo:

Ti crei una classe
codice:
Imports System.IO
Imports System.Net
Imports System.Text

Public Class Download
    Public Shared Event Status(ByVal value As Integer, ByVal masValue As Integer)

    Public Shared Sub DownloadFile()
        Dim wr As HttpWebRequest = CType(WebRequest.Create("http://www.mioSito.com/mioFile.exe"), HttpWebRequest)
        Dim ws As HttpWebResponse = CType(wr.GetResponse(), HttpWebResponse)
        Dim str As Stream = ws.GetResponseStream()
        Dim inBuf(1024000) As Byte
        Dim bytesToRead As Integer = CInt(inBuf.Length)
        Dim bytesRead As Integer = 0
        While bytesToRead > 0
            Dim n As Integer = str.Read(inBuf, bytesRead, bytesToRead)
            If n = 0 Then
                Exit While
            End If
            bytesRead += n
            bytesToRead -= n
            System.Threading.Thread.Sleep(2)
            RaiseEvent Status(bytesRead, ws.ContentLength)
        End While
        Dim fstr As New FileStream("C:\mioFile.exe", FileMode.OpenOrCreate, FileAccess.Write)
        fstr.Write(inBuf, 0, bytesRead)
        str.Close()
        fstr.Close()    
    End Sub

End Class
E poi richiami nella tua finestra personalizzata il metodo shared

codice:
Public Class Form1

    Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
        AddHandler Download.Status, AddressOf myDownload_Status
        Download.DownloadFile()
    End Sub

    Private Sub myDownload_Status(ByVal value As Integer, ByVal masValue As Integer)
        ProgressBar1.Maximum = masValue
        ProgressBar1.Value = value
    End Sub
End Class
Prova dovrebbe fungere.