Using notepad, I created VB.NET code and saved it as a file named Jack.aspx in C:\ASP.NET (the whole path to the file is C:\ASP.NET\Jack.aspx). Then I launched IE, then clicked on File, Open, Browse, C:\ASP.NET\Jack.aspx and I got the following error:

The XML page cannot be displayed

Cannot view XML input using XSL style sheet. Please correct the error and then click the Refresh button, or try again later. Reference to undeclared namespace prefix: 'asp'. Error processing resource 'file:///C:/ASP.NET/Jack.aspx'. Line 10, Positi...
<asp:Label id="lblTest" runat="server" />My Code is shown here as well:<html><script language="VB" runat="server"> Private Sub Page_load() lblTest.Text = "Hello, the Page.Load event occured." End Sub</script><body><form id="Form" runat="server"> <asp:Label id="lblTest" runat="server" /></form></body></html> What is the problem?

You can't just open/run an aspx page like that -- it has to go through IIS and the .NET engine.
Did you install .NET Framewrok and set up IIS on your machine?