Module Module1
    Sub Main()
        Debug.WriteLine("This line will be shown in the Visual Studio output console")

        Console.WriteLine("Press a key to exit")
        Console.ReadKey()

        Debug.WriteLine("End of application")
    End Sub
End Module

will produce:

Module Module1

    Sub Main()
        Debug.WriteLine("Starting aplication")

        Debug.Indent()
        LoopAndDoStuff(5)
        Debug.Unindent()

        Console.WriteLine("Press a key to exit")
        Console.ReadKey()

        Debug.WriteLine("End of application")
    End Sub

    Sub LoopAndDoStuff(Iterations As Integer)
        Dim x As Integer = 0
        Debug.WriteLine("Starting loop")
        Debug.Indent()
        For i As Integer = 0 To Iterations - 1
            Debug.Write("Iteration " & (i + 1).ToString() & " of " & Iterations.ToString() & ": Value of X: ")
            x += (x + 1)
            Debug.WriteLine(x.ToString())
        Next
        Debug.Unindent()
        Debug.WriteLine("Loop is over")
    End Sub
End Module

will produce:

At the beginning of your application, your must add a TextWriterTraceListener to the Listeners list of the Debug class.

Module Module1

    Sub Main()
        Debug.Listeners.Add(New TextWriterTraceListener("Debug of " & DateTime.Now.ToString() & ".txt"))

        Debug.WriteLine("Starting aplication")

        Console.WriteLine("Press a key to exit")
        Console.ReadKey()

        Debug.WriteLine("End of application")
    End Sub
End Module

All the Debug code produced will be outputed in the Visual Studio console AND in the text file you chose.

If the file is always the same:

Debug.Listeners.Add(New TextWriterTraceListener("Debug.txt"))

The output will be appended to the file every time AND a new file starting with a GUID then your filename will be generated.