Simple cavebots are just bad and a pain to use, not to mention error-prone due to lack of functionality.
Making more advanced cavebots requires reading the battlelist, map, containers etc, and by the time you know how to do all that, you'll know how to write the behavioural logic too. So don't bother with cavebots at this point.
Thread processing? You mean multi-threading? You can create and manage threads using the System.Threading namespace.
MSDN has more than enough info on this subject.
edit: I advise you to go with C# instead, as you'll find much more and better resources written in C#.
But if you can fully understand C# and write VB.NET code from what you learn, that's fine too.