I am trying to write a VB.NET alternative to a C# anonymous function.

I wish to call Threading.SynchronizationContext.Current.Send which expects a delegate of type Threading.SendOrPostCallback to be passed to it. The background is here, but because I wish to both pass in a string to MessageBox.Show and also capture the DialogResult I need to define another delegate within. I am struggling with the VB.NET syntax, both from the traditional delegate style, and lambda functions.

My go at the traditional syntax is below, but I have gut feeling it should be much simpler than this:

Private Sub CollectMesssageBoxResultFromUserAsDelegate(ByVal messageToShow As String, ByRef wasCanceled As Boolean)
    wasCanceled = False
    If Windows.Forms.MessageBox.Show(String.Format("{0}{1}Please press [OK] to ignore this error and continue, or [Cancel] to stop here.", messageToShow), "Continue", Windows.Forms.MessageBoxButtons.OKCancel, Windows.Forms.MessageBoxIcon.Exclamation) = Windows.Forms.DialogResult.Cancel Then
        wasCanceled = True
    End If
End Sub


Private Delegate Sub ShowMessageBox(ByVal messageToShow As String, ByRef canceled As Boolean)


Private Sub AskUserWhetherToCancel(ByVal message As String, ByVal args As CancelEventArgs)

    If args Is Nothing Then args = New System.ComponentModel.CancelEventArgs With {.Cancel = False}

    Dim wasCancelClicked As Boolean
    Dim firstDelegate As New ShowMessageBox(AddressOf CollectMesssageBoxResultFromUserAsDelegate)
    '…. Now what??
    'I can’t declare SendOrPostCallback as below: 
    'Dim myDelegate As New Threading.SendOrPostCallback(AddressOf firstDelegate) 


End Sub