If you trap the NewWindow2 event for the WebBrowser control, you can stop all new windows opening, like this:

Code:
Private Sub AxWebBrowser1_NewWindow2(ByVal sender As Object, ByVal e As AxSHDocVw.DWebBrowserEvents2_NewWindow2Event) Handles AxWebBrowser1.NewWindow2
e.cancel = True
End Sub


Alternatively you could instantiate an InternetExplorer object and pass the handle to that, in this way you can trap what they do in InternetExplorer too.

Code:
Dim WithEvents ieChildBrowser As SHDocVw.InternetExplorer
Private Sub AxWebBrowser1_NewWindow2(ByVal sender As Object, ByVal e As AxSHDocVw.DWebBrowserEvents2_NewWindow2Event) Handles AxWebBrowser1.NewWindow2
ieChildBrowser = New SHDocVw.InternetExplorer()
ieChildBrowser.RegisterAsBrowser = True
e.ppDisp = ieChildBrowser
End Sub



Now you can trap the DownloadBegin event, cut out the URL they were going to, close the instance of IE, then Navigate2 in your own WebBrowser.

Code:
Private Sub ieChildBrowser_DownloadBegin(ByVal sender As Object, ByVal e As System.EventArgs) Handles ieChildBrowser.DownloadBegin
Dim strURL As String
strURL = ieChildBrowser.Document.URL
ieChildBrowser.Quit()
ieChildBrowser = Nothing
AxWebBrowser1.Navigate2(strURL)
End Sub
But I guess the first is simpler as it just stops them being able to do it at all.