Well for anyone who wants to know I wrote up a little article on Adding Onclick to an asp.net Wizard Control Finish Button.
I was able to do this pretty easy with a JavaScript event listener.
It was real easy to do it this way, but I thought it was a pain in the neck because we don't really have access to the server side Finish Button as a property or method that I could find.
It also has an example in C# but it's easy enough to translate to vb.net
Enjoy
Article Here