The MenuStrip object only refers to the actual menu strip itself, not the individual menu items, which are actually ToolStripMenuItem objects. You're looking for the Text property of those objects. For example:
DirectCast(YourDynamicMenuItemObjectHere, ToolStripMenuItem).Text
If you're looking for a way to capture events, you'll need to create a generic event handler:
Private Sub GenericMenuItem_Click(sender As System.Object, e As System.EventArgs)
MessageBox.Show(DirectCast(sender, ToolStripMenuItem).Text)
'Whatever else you need to do based on the text of the menu item
End Sub
And then hook that handler to the menu items whenever they're created:
'Code that creates YourDynamicallyGeneratedMenuItem
AddHandler YourDynamicallyGeneratedMenuItem.Click, AddressOf GenericMenuItem_Click