^\d{1,6}$
....................
^[0-9]{1,6}$
should do it. I don't know VB.NET good enough to know if it's the same there.
For examples, have a look at the Wikipedia.
You could try
^[0-9]{1,6}$
it should work.
\b\d{1,6}\b
Explanation
\b # word boundary - start
\d # any digits between 0 to 9 (inclusive)
{1,6} # length - min 1 digit or max 6 digits
\b # word boundary - end
Source: Stackoverflow.com