You may have to do some additional configuration to enable Vault integration with Visual Basic 6.
First, verify that Vault is your default Source Code Control Provider. This setting is in the Vault Client under Tools->Options->General.
Next, in the VB menu select Add-ins->Add-in Manager.
From the list of available Add-ins, highlight "Source Code Control" and make sure "Load on Startup" and "Loaded/Unloaded" are checked in Load Behavior.
Additionally, you may want to check your vbaddin.ini file.
There should be an entry for source code control integration. If not
add the following entry:
vbscc=1
Additional details in this Microsoft KB article:
http://support.microsoft.com/kb/305024/EN-US/