As some have pointed out, there are some things that cannot be done in a Windows Application (go into VB.net and create "Windows Application. You can launch ArcMap and load a shapefile but not color it.)
So you need a Class Library. Is there some way to attach a form to a class library? I need some user input.
I tried using the form in the Windows Application, then writing a shapefile in the Windows Application then reading it back in in the Class Library. That seems to not work.