Olá veja minha classe de Contexto e o método que faz SELECT * FROM TESTEEF :
Imports System.Data.Entity
Imports System.ComponentModel.DataAnnotations
Public Class Contexto
Inherits DbContext
Public Property TesteEF As DbSet(Of TesteEF)
Public Function GetAllDados() As List(Of TesteEF)
Dim db As New Contexto()
Return (From o In db.TesteEF
Select o).ToList()
End Function
End Class
Veja no Load do form como faço a chamada :
Public Class Form1
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
Dim c As New Contexto()
DataGridView1.DataSource = c.GetAllDados()
End Sub
End Class