This is not a VB-exclusive feature.
What you're looking for is called a navigation bar. In Visual Studio options, open Text Editor → C# → General, and you'll see an option called Navigation Bar. Enable it and click OK.
However, I believe this bar works a bit differently in VB and in C#. In C#, it only lists the existing classes and their methods; in VB, it will list all your controls and their events even if those don't exist yet.
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…