Delegate Problem: Object Reference not set to an instance of an Object

Requirement:
I am building a custom listbox control and I need to send notification to one control, from another when the Mouse Wheel is used.

Implementation:
I am new to delegates but I thought I had understood them this way:
If Class A needs to tell Class B the mouse wheel was used then...

Class A
protected m_Notify As OnThisMouseWheel

Public Delegate Sub OnThisMouseWheel(Str)

Public Sub NotifyOnMouseWheel(ByVal value As OnThisMouseWheel)
    m_Notify = value
End Sub

Private Sub MouseWheel(ByVal sender As Object, ByVal e As System.Windows.Forms.MouseEventArgs) Handles ...

    Try
        m_Notify.Invoke("BOo!")
    Catch ex As Exception

    End Try

End Sub


Class B

Private Sub AddItem(ByVal ob As CustomControl)
    ob.NotifyOnMouseWheel(New CustomControl.OnThisMouseWheel(AddressOf NotifyMe))

    ...
End Sub

Public Sub NotifyMe(ByVal s As String)
    Debug.WriteLine(s)
End Sub


If I invoke m_Notify from NotifyOnMouseWheel in Class A right after assigning it, then it works. The object assignment is working and the delegate communicates to the other control. But after that the m_Notify variable equals Nothing. I Imagine it has something to do with the Subroutine that sets up the controls and creates the delegate but I've tried a couple different ways to pass the variable and I still get the same result. Is this thread related?

It is rather urgent so high points.