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.