Make sure you have downloaded and installed the MS Agent core components from Microsoft (including the character "Merlin"). Now open up your copy of VB, and follow these instructions:
Right-click on the Toolbox.
Select "Components".
Scroll down the list until you see "Microsoft Agent Control 2.0". Select it and press OK to return to the main window.
Double-click on the "Agent" control in the Toolbox.
You have just put the MS Agent control on a form for the first time!