Puedes implementarlo usando un watcher. Aqui te dejo el modelo:
Private Sub Form1_Load(sender As Object, e As EventArgs) Handles MyBase.Load
Dim watcher=New FileSystemWatcher("c:\CarpetaConArchivos")
watcher.NotifyFilter=IO.NotifyFilters.FileName
AddHandler watcher.Created, AddressOf FileCreated
AddHandler watcher.Deleted, AddressOf FileCreated
watcher.EnableRaisingEvents = True
End Sub
Private Sub Filecreated(ByVal source As Object, ByVal e As System.IO.FileSystemEventArgs)
MessageBox.Show("Creado " + e.FullPath)
End Sub
Private Sub FileDeleted(ByVal source As Object, ByVal e As System.IO.FileSystemEventArgs)
MessageBox.Show("Eliminado " + e.FullPath)
End Sub