The following section in the referance manual should help you with this "Multi-entity filters". I have pasted the code help for you convinience from the manual
Dim customers As New EntityCollection(New CustomerEntityFactory())
Dim bucket As New RelationPredicateBucket()
bucket.Relations.Add(CustomerEntity.Relations.OrderEntityUsingCustomerID)
bucket.Relations.Add(OrderEntity.Relations.OrderDetailsEntityUsingOrderID)
bucket.Relations.Add(OrderDetailsEntity.Relations.ProductEntityUsingProductID)
bucket.Relations.Add(ProductEntity.Relations.SupplierEntityUsingSupplierID)
bucket.PredicateExpression.Add(PredicateFactory.CompareValue(SupplierFieldIndex.Country, ComparisonOperator.Equal, "France"))
Dim adapter As New DataAccessAdapter()
adapter.FetchEntityCollection(customers, bucket)
You code would probaly look some like the following
Dim Country As New EntityCollection(New CountryEntityFactory())
Dim bucket As New RelationPredicateBucket()
bucket.Relations.Add(CountryEntity.Relations.ProvinceEntityUsingCountryID)
bucket.Relations.Add(ProvinceEntity.Relations.CityEntityProvinceID)
Dim adapter As New DataAccessAdapter()
adapter.FetchEntityCollection(Country, bucket)
Hope this help