It depends on what your console app does right now. Typically you'd need a service if you need some kind of TCP service, remoting server, WCF service etc. Essentially you have code that can be activated when desired. Since you've asked this question I guess we can assume that right now you have a console app, that blocks (perhaps on a key-press) and keeps a thread alive. If so, follow Nijboer's suggestions. If not, you need to explain what you are trying to achieve.
Based on OP's comment, here's a link to an article that shows how to create and install a service using VB.NET: