I believe that they end up being the same IL code (give or take). CDbl() is from the VB.NET language spec, while the Convert class is from the framework itself.
If you ever intend to learn one of the other .NET languages (J#, C#, COBOL.NET, etc), then it might be a good idea to learn more about the framework, and use the framework methods where possible.
If you're curious, you can write some code to illustrate each, and once it's compiled, run it through ildasm.exe (comes with the framework) or Reflector (
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