The data is not stored in VB itself. There are many ways it can be stored. Access tables, Database server tables, even text files. However it is far, far more complex to interact with that data when building in a VB app than it is to use bound forms in Access.
It is simply not practical to explain everything you need to know to build an application in VB.NET
If you ultimately want to work in VB then getting some experience in Access using recordsets and SQL commands is a good place to begin without having to negotiate the full learning curve all at once.
Then download Visual Studio Express which is the free editor for VB.NET