I checked out http://msdn.microsoft.com/en-us/library/dd783499.aspx?cs-save-lang=1&cs-lang=vb#code-snippet-1. It should exist.
EDIT: I tried it on vs2010 (different project, though), and it exists.
Enum.TryParse was added with .Net Framework 4.0.
You can easily tell this by looking at the Other Versions drop down menu in the documentation or the version Information:
.NET Framework
Supported in: 4.5, 4
.NET Framework Client Profile
Supported in: 4
Portable Class Library
Supported in: Portable Class Library
.NET for Windows Store apps
Supported in: Windows 8
So probably you're using an older .Net Framework version.
Do you have System Import?
Imports System
If you are in Visual Studio 2010, make sure you are targeting .NET Framework 4.0

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