This is something I've never tested, but ADO should be able to handle multiple commands as a batch. It doesn't accept
GO
but it should accept semicolon. So basically if you convert GO's to semicolons it could work. You could try something like:
string sql = @"SELECT 1
GO
SELECT 2
GO
SELECT 3
GO";
sql = sql.Replace(@"
GO", ";");
This would most likely depend on the statements you're going to run, for example with procedure definitions including GO's could have problems.
[EDIT]
Sorry, just realized that this was VB, so something like:
sql = "SELECT 1" + vbNewLine + _
"GO" + vbNewLine + _
"SELECT 2" + vbNewLine + _
"GO" + vbNewLine + _
"SELECT 3" + vbNewLine + _
"GO".Replace(vbNewLine + "GO", ";")
sql = sql.Replace(vbNewLine + "GO", ";")