>Or do I have to make a new windows component in VB.NET as a wrapper?

Yes, its called a COM Callable Wrapper (CCW).

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpguide/html/cpconcomwrappers.asp

http://msdn.microsoft.com/library/default.asp?url=/library/en-us/cpguide/html/cpconexposingnetframeworkcomponentstocom.asp

Most new development will be in the reverse direction, calling COM objects from .NET, so you might not see too many examples of this.

You might want to consider Web Services. Rick has a good article that show how to return a DataSet from a Web Serviice.

http://www.west-wind.com/presentations/dotnetwebservices/DotNetWebServices.asp

-Dave