How to insert datetime in sql server 2008 using VB 2010?

Fixing the SQL Injection[^] vulnerability in your code will also fix the error message:

Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
    Using connection As New SqlConnection(SqlConnectionString)
        Using cmd As New SqlCommand("INSERT FROMPenerima (IDPenerima, MessageHL7, [Tanggal Penerima]) VALUES (@IDPenerima, @MessageHL7, @TanggalPenerima)", connection)
            
            cmd.Parameters.AddWithValue("@IDPenerima", txtIdPenerima.Text)
            cmd.Parameters.AddWithValue("@MessageHL7", txtMessageHl7.Text)
            cmd.Parameters.AddWithValue("@TanggalPenerima", DateValue(DateTimePicker1))
            
            connection.Open()
            cmd.ExecuteNonQuery()
        End Using
    End Using
End Sub

A plain insert-statement (a good-practise one) looks like this:

INSERT INTO table_name (column1,column2,column3,...) VALUES (value1,value2,value3,...);

One important thing is completely missing from your code: Sql-Parameters[^]. They're good for various reasons: Avoiding so-called Sql-Injection-Attacks, avoiding "strange" Sql-Syntax-Errors and making your Sql-Statements better readable and maintainable. Use them right away and you'll (probably ;)) never have troubles with that.

Sql-Parameters are "something like variables" in your Sql-Statements. And in case of Sql-Server you prefix them with an @

Example:

INSERT INTO Penerima (IDPenerima, MessageHL7, [Tanggal Penerima]) VALUES (@id, @msg, @tp);

To "deliver" the desired values of these parameters along with your Sql-Insert-Statement to the Sql-Server you have to create instances of SqlParameters and add them to the Parameter-Collection of your SqlCommand-Object (also note I left out the "DateValue(..)" and added ".Value" to your DateTimePicker to avoid the error you experienced):

Dim cmd As New SqlCommand(sqlStatement, connection)
cmd.Parameters.AddWithValue("@id", ID_Penerima)
cmd.Parameters.AddWithValue("@msg", Message_HL7)
cmd.Parameters.AddWithValue("@tp", DateTimePicker1.Value)

Finally, to make it good practise (at least as much as I can think of right now), wrap it all into a Try-Catch-Finally[^] (just that we don't need the Catch-Part here) which will ensure that your connection always gets properly closed even if there should an exception be thrown between opening and closing it:

Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
    Dim connection As New SqlConnection()
    connection.ConnectionString = SqlConnectionString
    connection.Open()

    Try
        Dim sqlStatement As String = "INSERT INTO Penerima (IDPenerima, MessageHL7, [Tanggal Penerima]) VALUES (@id, @msg, @tp);"

        Dim cmd As New SqlCommand(sqlStatement, connection)

        cmd.Parameters.AddWithValue("@id", txtIdPenerima.Text)
        cmd.Parameters.AddWithValue("@msg", txtMessageHl7.Text)
        cmd.Parameters.AddWithValue("@tp", DateTimePicker1.Value)

        cmd.ExecuteNonQuery()
    Finally
        connection.Close()
    End Try
End Sub

And one tip: Visual Studio 2013 Community Edition is way better than VS2010 (at least if you don't have 2010 Ultimate and especially if you have 2010 Express) and it's FREE! :) Download it here: https://www.visualstudio.com/en-us/products/visual-studio-community-vs.aspx[^]

Edit: If there should be syntax-errors in the code (I'm unexperienced with VB but tried my best) please tell if you can't fix it yourself and I will try to help.