I need help converting a c# anonymous method to vb.net

Question

provider.OptionsSet += delegate
{
  provider.FinishedLoading();
};

Answer 1

provider.OptionsSet += Function() Do
    provider.FinishedLoading() 
End Function 

This is taken from http://www.developerfusion.com/tools/convert/csharp-to-vb/, so I haven't tested it. It might be more helpful if you were able to provide more context. What is this being used for?