First, you have several complex issues here and my initial thought is that you should separate them and attack each on its own until you have it working and then add them into the final solution. For instance, don't try to start off by dynamically creating your user control and getting it to expose and fire an event. The dynamic part of this problem could get in the way and cause your events not to work but you would never know which is the problem. Instead my recommendation is you focus on events in VB.NET and getting them to work from a statically created user control. Then once you have this all working, move to making the user control dynamically created.
As far as understanding events in VB.NET, I highly recommend the MSDN samples. Start with this simple example: How to: Raise an Event (Visual Basic) and then follow through with the other samples that are linked to from that page. Then once you have learned creating your own events in VB.NET, then look into adding a usercontrol dynamically.
Event bubbling is when a parent control handles an event from a child. So, yes, this is what you are trying to do.