On Windows, put:
Module HalloWelt Sub Main() Console.WriteLine("Hallo, Welt!") End Sub End Module
in a textfile with any texteditor, save it as fnord.vb
then on a cmd.exe ,type:
C:\%SystemRoot%\Microsoft.NET\Framework\v2.0.50727\vbc.exe fnord.vb
(or wherever you have vbc.exe, which is the visual basic compiler) (*)
(*) If you cant find vbc.exe on your box you need to install .Net Framework, you dont need the complete SDK, that is optional.
.. and you will have a new fnord.exe and compiled your own windows commandline executable.
C:\fnord.exe Hallo, Welt!
ergo: also on Windows you dont need a GUI to create applications.