They were right and I was wrong.  Here is an example that will work in VB.

Imports System.ComponentModel
Public Class DataHolder
    Public Sub Load()
        Dim v As New MyCollectionItem()
        v.Data = "First Element"
        Me.mArray.Add(v)

        v = New MyCollectionItem()
        v.Data = "Second Element"
        Me.mArray.Add(v)
    End Sub

    Public Function GetXML()
        Dim serializer As New 
System.Xml.Serialization.XmlSerializer(GetType(DataHolder))
        Dim writer As New System.IO.StringWriter()
        Dim Obj As DataHolder
        Obj = Me
        serializer.Serialize(writer, Obj)
        Dim s As String
        s = writer.ToString
        Console.Write(s)
        writer.Close()
        Return s
    End Function

    Dim mArray As New MyCollectionClass()
    <Xml.Serialization.XmlArray(), _
    Xml.Serialization.XmlArrayItem(GetType(MyCollectionItem))> _
    Public Property Array() As MyCollectionClass
        Get
            Return mArray
        End Get
        Set(ByVal Value As MyCollectionClass)
            mArray = Value
        End Set
    End Property
End Class

Public Class MyCollectionClass
    Inherits CollectionBase
    Implements IBindingList

    Default Public Overridable Shadows Property Item(ByVal index As Integer) As 
MyCollectionItem
        Get
            Return CType(MyBase.List(index), MyCollectionItem)
        End Get
        Set(ByVal Value As MyCollectionItem)
            MyBase.List(index) = Value
        End Set
    End Property

    Public Function IndexOf(ByVal obj As MyCollectionItem) As Integer
        Return List.IndexOf(obj)
    End Function

    Public Sub Add(ByVal obj As MyCollectionItem)
        MyBase.List.Add(obj)
    End Sub

    Public Function AddNew() As Object Implements IBindingList.AddNew
        Dim X As New MyCollectionItem()
        list.Add(X)
        Return X
    End Function

    Public ReadOnly Property AllowEdit() As Boolean Implements IBindingList.AllowEdit
        Get
            Return True
        End Get
    End Property

    Public ReadOnly Property AllowNew() As Boolean Implements IBindingList.AllowNew
        Get
            Return True
        End Get
    End Property

    Public ReadOnly Property AllowRemove() As Boolean Implements 
IBindingList.AllowRemove
        Get
            Return True
        End Get
    End Property

    Public Event ListChanged As ListChangedEventHandler Implements 
IBindingList.ListChanged

    Friend Sub OnListChanged(ByVal args As ListChangedEventArgs)
        RaiseEvent ListChanged(Me, args)
    End Sub

    Protected Overrides Sub OnRemoveComplete(ByVal index As Integer, ByVal value As 
Object)
        OnListChanged(New ListChangedEventArgs(ListChangedType.ItemDeleted, index))
    End Sub

    Protected Overrides Sub OnInsertComplete(ByVal index As Integer, ByVal value As 
Object)
        OnListChanged(New ListChangedEventArgs(ListChangedType.ItemAdded, index))
    End Sub

    Sub AddIndex(ByVal prop As PropertyDescriptor) Implements IBindingList.AddIndex
        Throw New NotSupportedException()
    End Sub

    Sub ApplySort(ByVal prop As PropertyDescriptor, ByVal direction As 
ListSortDirection) Implements IBindingList.ApplySort
        Throw New NotSupportedException()
    End Sub

    Function Find(ByVal prop As PropertyDescriptor, ByVal key As Object) As Integer 
Implements IBindingList.Find
        Throw New NotSupportedException()
    End Function

    Sub RemoveIndex(ByVal prop As PropertyDescriptor) Implements 
IBindingList.RemoveIndex
    End Sub

    Sub RemoveSort() Implements IBindingList.RemoveSort
    End Sub

    ReadOnly Property IsSorted() As Boolean Implements IBindingList.IsSorted
        Get
        End Get
    End Property

    ReadOnly Property SortDirection() As ListSortDirection Implements 
IBindingList.SortDirection
        Get
        End Get
    End Property

    ReadOnly Property SortProperty() As PropertyDescriptor Implements 
IBindingList.SortProperty
        Get
        End Get
    End Property

    ReadOnly Property SupportsChangeNotification() As Boolean Implements 
IBindingList.SupportsChangeNotification
        Get
            Return True
        End Get
    End Property

    ReadOnly Property SupportsSearching() As Boolean Implements 
IBindingList.SupportsSearching
        Get
            Return False
        End Get
    End Property

    ReadOnly Property SupportsSorting() As Boolean Implements 
IBindingList.SupportsSorting
        Get
            Return False
        End Get
    End Property
End Class


Public Class MyCollectionItem
    Implements System.ComponentModel.IEditableObject

    Public Sub BeginEdit() Implements System.ComponentModel.IEditableObject.BeginEdit
    End Sub
    Public Sub CancelEdit() Implements System.ComponentModel.IEditableObject.CancelEdit
    End Sub
    Public Sub EndEdit() Implements System.ComponentModel.IEditableObject.EndEdit


    End Sub
    Dim mData As String
    Public Property Data() As String
        Get
            Return mData
        End Get
        Set(ByVal Value As String)
            mData = Value
        End Set
    End Property
End Class


Public Class Form1
    Inherits System.Windows.Forms.Form

#Region " Windows Form Designer generated code "

    Public Sub New()
        MyBase.New()

        'This call is required by the Windows Form Designer.
        InitializeComponent()

        'Add any initialization after the InitializeComponent() call

    End Sub

    'Form overrides dispose to clean up the component list.
    Protected Overloads Overrides Sub Dispose(ByVal disposing As Boolean)
        If disposing Then
            If Not (components Is Nothing) Then
                components.Dispose()
            End If
        End If
        MyBase.Dispose(disposing)
    End Sub

    'Required by the Windows Form Designer
    Private components As System.ComponentModel.IContainer

    'NOTE: The following procedure is required by the Windows Form Designer
    'It can be modified using the Windows Form Designer.  
    'Do not modify it using the code editor.
    Friend WithEvents Button1 As System.Windows.Forms.Button
    <System.Diagnostics.DebuggerStepThrough()> Private Sub InitializeComponent()
        Me.Button1 = New System.Windows.Forms.Button()
        Me.SuspendLayout()
        '
        'Button1
        '
        Me.Button1.Location = New System.Drawing.Point(24, 32)
        Me.Button1.Name = "Button1"
        Me.Button1.TabIndex = 0
        Me.Button1.Text = "Button1"
        '
        'Form1
        '
        Me.AutoScaleBaseSize = New System.Drawing.Size(5, 13)
        Me.ClientSize = New System.Drawing.Size(292, 109)
        Me.Controls.AddRange(New System.Windows.Forms.Control() {Me.Button1})
        Me.Name = "Form1"
        Me.Text = "Form1"
        Me.ResumeLayout(False)

    End Sub

#End Region

    Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As 
System.EventArgs) Handles Button1.Click
        Dim X As New DataHolder()
        X.Load()
        MsgBox(X.GetXML)
    End Sub


End Class

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