Short and best answer: get rid of VB and try to forget it as soon as you can. VB6 controls don't support Unicode. And don't even play with the idea of supporting Russian through any of the legacy encoding. It's better not to support Russian at all.
Long and ugly way: it looks like there is a number of third-part Unicode controls for VB6.
Do this:
http://en.lmgtfy.com/?q=VB6+Unicode[
^] to see over 2 millions of results. However, I would say — don't torture yourself.
—SA