I've declared them as shared because of the sample microsoft posted on MSDN! I've managed to solve the problem, it was with the DownloadProgress Sub and thanks to a lot of help from the MSDN forums. The corrected sub looks like:
I'm new to visual basic since I come from a Delphi background. I've got a problem which I don't how to solve in VB .NET. I get an error message of TargetInvocationException when I assign AddHandler to the WebClient() for showing the download progress.