Puoi fare cosi:

codice:
        Dim Num As String = "€ 1.005,401"

        System.Threading.Thread.CurrentThread.CurrentCulture = New System.Globalization.CultureInfo("en-US") 'it-IT se vuoi la gestione in italiano

        Dim numInfo As NumberFormatInfo = New NumberFormatInfo()
        numInfo.CurrencySymbol = "€"
        numInfo.CurrencyDecimalSeparator = ","

        Dim curr As Decimal = Decimal.Parse(Num.Replace(".", ""), NumberStyles.Currency, numInfo)

        TextBox1.Text = curr.ToString()