A lot of VB apps use MDAC (http://msdn.microsoft.com/data/mdac/downloads/). They tend to include mdac_typ.exe, the mdac installer, and run it, but unfortunately, Wine doesn't seem to run it properly. (I'm testing using mdac 2.7 sp1, fwiw.)
First, the MDAC installer refuses to run unless the registry key for IE6 is present. (OK, that's easy to work around... if you're a programmer. It probably ought to be a winecfg pulldown.)
Second, even if the MDAC installer runs, all it does is install a bunch of directories under c:\windows\RegisteredPackages. The DLLs needed by the VB app are locked up in .cab's in those directories. In the app I'm trying to install, the installer then fails with err:module:import_dll Library MSDART.DLL (which is needed by L"C:\windows\system32\msadox.dll") not found Something, somehow, is supposed to be triggering an unpack, but it's not happening. (See http://msdn.microsoft.com/workshop/delivery/download/download_node_entry.asp for a discusion of how the unpacking is supposed to go on Windows.)
I've filed a bug report at http://bugs.winehq.org/show_bug.cgi?id=3636