You want to use DateTime.ParseExact
An example is provided here: http://msdn.microsoft.com/en-us/library/w2sa9yss(v=vs.110).aspx
Changing this to your needs as follows:
Dim dateString, format As String
Dim result As Date
Dim provider As CultureInfo = CultureInfo.InvariantCulture
' Parse date-only value with invariant culture.
dateString = "16.12.2013. 11:30:25.1234"
format = "dd.MM.yyyy. hh:mm:ss.ffff"
Try
result = Date.ParseExact(dateString, format, provider)
Debug.WriteLine("{0} converts to {1}", dateString, result.ToString())
dtp_myDate.Value = result
Catch ex As FormatException
Debug.WriteLine("{0} is not in the correct format", dateString)
End Try
Output:
16.12.2013. 11:30:25.1234 converts to 16/12/2013 11:30:25