In order to help migration from VB6 to VB.NET, Microsoft designed equivalents of a few non-standard controls from VB6 that are not provided by default in .NET. The FlexGrid is in that category. You will find them in the .NET Components after going into Choose Items... after right clicking in the ToolBox. They are all part of the Microsoft.VisualBasic.Compatibility library, a library that should be used only as a last resort when converting applications.
You will see that the FlexGrid is not part of that library, meaning that Microsoft was not able to make a decent adaptation of the FlexGrid for the .NET environment. That is probably due to the fact that the FlexGrid used Variant values a lot, and the Variant type is no longer supported in .NET.
You should be able to reference the control through the COM Components tab available when you right click in the ToolBox and select Choose Items... but I personnally would never do it. The Microsoft.VisualBasic.Compatibility library is already a bad thing to use. If Microsoft has not been able to provide you with a proper control adapted for .NET, you should expect that referencing the old one directly won't work or will bring in a lot of bugs.
Since there is no equivalent provided with .NET, you will have to resort to third party grids. You might want to search http://www.componentsource.com/index.html to see if they have something that could suits you.