I started with Visual Basic .NET a year ago and just recently moved into Win32 C++. .NET is really fun and easy to learn, plus it has DirectX 9.0 which is an amazing set of APIs but here are what I think the advantages of the languages are:

Visual Basic:
Advantages: Easy to learn, doesn't take long to make a simple application, no memory leaks
Disadvantages: Slower than other languages. Can't do as much as the others (little if any memory management)

C#:
Advantages: Not quite as straightforward as VB but much simpler than C++. Memory leaks are small.
Disadvantages: Though this is changing, support is limited. Not as much memory management as C++. Faster than VB but not faster than C++.

C++:
Advantages: Speed is top notch. Anything can be accomplished. Support is massive.
Disadvantages: Complex. Memory leaks are frequent and hard to manage.