The PixeLINK 4.0 API is available to you as set of functions exported by PxLApi40.dll. Assuming the environment variable ProgramFiles is set properly (most likely it will be set to C:\Program Files), and you installed the SDK to the default location, the file you are interested in is %ProgramFiles%\PixeLINK\include\PixeLINKApi.bas.
This VB module has all the constants and declarations needed to interact with the PixeLINK 4.0 API. All you have to do is add PixeLINKApi.bas to your VB project, and you're ready to go.
You may be interested in the example code which shows how to interact with a PixeLINK camera. There are some VB6-specific examples available.
And, don't forget that PixeLINK support is available if you have problems or get stuck.
Please keep in mind that when debugging, the VB6 IDE acts as the application interacting with the PixeLINK API, not your application. The VB6 IDE loads (LoadModule) the PixeLINK API's dll, PxLApi40.dll, upon the first call to a PixeLINK API function. However, the dll is not unloaded when the app you're debugging ends; it's not unloaded until the VB6 IDE is exited. What this means is that if your app ends without uninitializing the camera(s) you are talking to (e.g. you stop debugging while stepping through some code), you will not be able to connect (PxLUninitialize) again unless you exit the IDE, thereby causing the dll to be unloaded, and all connections cleaned up. If the camera is streaming when you abruptly stop debugging the app, the stream will not be stopped because as far as the camera can tell, the app it's talking to (VB6 IDE) is still running.