There are several ways of going about this: you can use the query expression syntax,
Dim locations = From l In doc.Descendants("Locations")
Select CStr(l.Attribute("Name"))
or you could avoid the query expression syntax and just use the standard dot notation syntax,
Dim locations = doc.Descendants("Locations").Select(Function(l) l.Attribute("Name").Value)
or you could use axis properties,
Dim locations = doc...<Locations>.Select(Function(l) l.@Name)