OK, OK, VBS doesn't have anonymous subs. (Though you can get references to subs using the GetRef function, this is apparently considered so magical that it is documented as only being for registering DHTML handlers for IE5 hosted scipts. So forget anonysub references.)
But with a judicious bit of source filtering (external of course: there's no way to modify the source at compile time so the abused .vbs won't even run) you can fake them (even with a hackish lexical context) with objects.
