Thank you folks. I eventually found what the 'bug' is.
I reinstalled MPLAB v.7.61 and MPASM v.5.11.
The 'bug' was that I did not specify the path for Compiler.
In the menu there is Compile and Program Options under View tab.
In the Assembler tab I specified the path for MPASM, i.e C:\Program Files\Microchip\MPASM Suite.

I will post my VB code as soon as I write. This thread is not finished yet.
Thanks to Steve and Skimask.