Sub Main() closes form on exit

In VB6 we have adopted a common practice of starting applications from Sub
Main() in a module. Within Sub Main() we open any one of a number of main
application forms, depending upon what command-line argument was passed in.
This all worked great.

However, under VB.NET in VS 2003 the form we bring up disappears as soon as
Sub Main() ends, presumably because the form object falls out of scope.

I've read some place that forms persist in VB6 but don't in VB.NET. Can
anyone explain this problem and how to get around it?