There are different ways to get rid of your error
Medthod 1:
Private Sub btn1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btn1.Click
Dim n As String = txt_theory.Text
Dim temp As String = txt_theoryent.Text
Dim i As Integer
For i = 0 To Val(n)
lb1.Items.Add(CType(temp, String))
Next
End Sub
Method 2:
txt_theory.Text should have to enter integer, so you need to validate it on keypress event to enter only integer values and it can convert to integer when it is integer value