Ok, I resolved it. There were two issues. The first one is that I had to add a reference of AxInterop.SHDocVw.dll in the project. The other was that I had to define the function as non CLS compliant:

Public Class BrowserUrl

    Public lBrowser As Boolean = False
    Public nOperation As Integer = 0
    Public nPrimaryKey As Integer = 0
    Public cUrl As String = ""

    ' Get the Url
    <CLSCompliant(False)> _
    Public Function GetUrl(ByVal toBrowser As AxSHDocVw.DWebBrowserEvents2_BeforeNavigate2Event) As Boolean
        Dim lnLocation As Integer
        cUrl = toBrowser.uRL
        cUrl = Mid(cUrl, cUrl.LastIndexOf("\") + 2)
        If cUrl.StartsWith("LX") Then
            lBrowser = True
            toBrowser.cancel = True
            nOperation = Val(Mid(cUrl, 3, 1))
            lnLocation = cUrl.IndexOf(",")
            nPrimaryKey = Val(Mid(cUrl, 4, lnLocation))
        End If
    End Function

End Class