Think the solution is simple but first of all: I hope the example code above contains the syntax error only because you simplified the statement? Otherwise the statemt should look like this:
QRY = "Insert into mytable( ..., msgbody) values (...,'" & oMsg.Body & "')"
Second: If you're using a string column (varchar or nvarchar) and the message body contains chars that have special meaning in SQL language this will lead into a syntax error when executing QRY. You either have to search and replace or escape all chars that may cause a syntax error or (better) use the SQLCommand class with Parameter to insert the value correctly (this will also prevent from SQL injection if message contains an SQL statement).