I'm not sure I fully understand the question.
1. where must i implement this function
(create a new sub or implement it in C++)
(I have already seen the example in c++)
2. How can I integrate this callback function
Presumably you are developing in VB, so the callback function will be part of your VB application. You can put the function anywhere you like as long as you pass a valid pointer to ps3000_get_streaming_last_values.
The driver will call your function when the data is ready.