I am using vb 2005 express.
Double click on the "My Project" in Solution Explorer. Under the Application tab, lower left hand side, you will see Shutdown Mode. In the dropdown box select "When last form closes".
Now in a button in form1 put
You will do the same thing in form2 and form3.
Notice the order. If you do Me.Close first the program ends, so, always open the next form before closing the current form.