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If you have declared a function call into an external DLL, such as a C DLL, or for a Windows API call, then it may fail if the DLL does not exist in the system PATH, or in the same folder as your app.
It will fail if the DLL is correctly found, but the DLL relies upon other files to work. Under those circumstances, the initialisation routine of the DLL will fail, and it will shut down with an error code of 0, telling VB that it failed to load.
Do you know which DLL is the problem?
Are you calling one directly, or is it likely that an OCX in your project is trying to use one?