When you view a Project's Properties sheet (the drop-down menu Project->Properties), one of the tabs you can view is labelled "Compile". If you select that tab, you're presented with a bewildering array of compiling options. Some of them can greatly speed up your compiled code, so it'w worthwhile to look into them.
Common Compiling Options
First, you see two options: "Compile to P-Code" and "Compile to Native Code". "Compile to P-Code" makes a partially-compiled program that VB can run, but which is not a normal .exe file. Compiling to P-code has two advantages: 1) you get to see your program through the entire compilation to make sure there are no bugs there, and 2) VB runs a program compiled to P-Code much faster than an uncompiled program that's run like normal.
If you select to Compile to Native Code, you have two further options: you can "Compile for Fast Code", which will make your compiled program as fast as possible (but maybe bigger), or "Optimize for Small Code", where your compiled program will be as small as possible (but possibly slow). You can also "Favor Pentium Pro (tm)", which will use specialized instructions that will only work on a Pentium Pro (tm), but will run faster. And you can "Create Symbolic Debug Info", in which case you can use any debugger to debug your code.
Uncommon Compiling Options
On that screen is a button labelled "Advanced Optimizations...". If you click on that, you get a list of advanced compiling options. Selecting one of these options will remove safety checks from your compiled code, making it faster (but more prone to errors).
Dim a(1 To 10) As Integer
a(12) = 5