dovresti provare a connetterti ad una url e vedere se hai risposta

codice:
         
        Dim req As HttpWebRequest
        Dim res As HttpWebResponse
        Try
            req = CType(WebRequest.Create("http://....."), HttpWebRequest)
            res = CType(req.GetResponse(), HttpWebResponse)
            req.Abort()
            If res.StatusCode = HttpStatusCode.OK Then
                'sei connesso
            End If
        Catch ex As Exception
            ' non sei connesso
        End Try
o puoi provare con

codice:
        Dim bConnected As Boolean

        Try

            Dim IPHostEntry As System.Net.IPHostEntry = System.Net.Dns.GetHostByName("www.........")
            bConnected = True

        Catch

            bConnected = False ' host not reachable. 
        End Try