You probably have your login form set as your startup form.  When you
close the startup form, it closes the entire app.  Change it so that
you start from a shared sub main in your main form.  Inside sub main,
show your login form with ShowDialog.  After it closes, then show the
main form.  Something like this:

   Shared Sub Main()
       'Dim and show the login form
       Dim f As New LoginForm

       'If the login form returns OK then the user logged in correctly
and
       'we can show the main form
       If f.ShowDialog = Windows.Forms.DialogResult.OK Then
           Application.Run(New Form1)
       Else
           MsgBox("Invalid Login")
       End If
   End Sub

You might also experiment with using the built in Splash form in
VB2005.  Perhaps you can use the splash form as a login form.