VB.Net Application Internet Connection

Hello,

I want to create an application that a user can use at his work location but that will need to connect to a database hosted elsewhere. I don't want this to be a website but rather a windows app.

Is it discouraged to do so and use PHP / ASP.Net instead? I've looked into it and it seems possible ... Although, are there any security flaws in doing such a thing? Performance issues that someone may know of?

Thank you for your insight.
Alex