This snippet of code worked when tested in VB.NET application I’m working on. It will set the User Agent string for the duration of the control.

Private Property uag As String = Mozilla/5.0 (Windows NT 6.3; WOW64; Trident/7.0; rv:11.0) like Gecko
    Private Shared Function UrlMkSetSessionOption(ByVal dwOption As Integer, ByVal pBuffer As String, ByVal dwBufferLength As Integer, ByVal dwReserved As Integer) As Integer
    End Function
    Const URLMON_OPTION_USERAGENT As Integer = &H10000001
    Public Function ChangeUserAgent(ByVal Agent As String)
        UrlMkSetSessionOption(URLMON_OPTION_USERAGENT, Agent, Agent.Length, 0)
    End Function