Indexed properties are going to be the closest to what you want.
Class Army
Private _Squads(5) As Squad
Property Squad( ByVal index as Integer ) As Squad
Get
Return _Squads( index )
End Get
Set( Byval this as Squad )
_Squads( index ) = this
End Set
End Property
'More
End Class
Class Squad
Private _Units( 5 ) As Unit
Property Unit( ByVal index as Integer ) As Unit
'Same, but use _Units
End Property
End Class
Class Unit
End Class
Which you could then do the following
Dim x As New Army
x.Squads( 1 ) = New Squad( )
x.Squads( 1 ).Units( 1 ) = New Unit
Unit could also be an Interface, or could just be a class that all of your units inherit from if you have things like swordsman, dragon, soldier, robot, or other unit types.
I haven't tested it, but it should give you an idea of one approach.