>I have created a stored procedure which does a backup. From a VB.NET application, I can execute that stored procedure. However, this does not execute in background. So, the application freezes during that time. And, short after, I get a timeout expiration message. As this is a backup, is there a way to have this stored procedure to be started and my VB.NET application would continue immediately? Or, is my only way to execute that would then be from the Agent?

How exactly you're doing it? Did you try using SMO object http://msdn.microsoft.com/en-us/library/microsoft.sqlserver.management.smo.backup.aspx ?