Change the button's text to OFF and double-click on it in the Form Designer.
It should look something like this:
[highlight=vb.net]
Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
If Button1.Text = "ON" Then 'If I click on the button and the button says 'ON' then..
Button1.Text = "OFF" 'Set the text to OFF
'Add here what happens when you turn it off
ElseIf Button1.Text = "OFF" Then 'If I click on the button and the button says 'OFF' then..
Button1.Text = "ON" 'Set the text to ON
'Add here what happens when you turn it on
End If
End Sub[/highlight]