This is how you could do it in VBA using the IFeatureConstruction interface:
The code initially builds a bunch of polylines and stores them in a GeometryBag. They intersect at their ends and create a grid which converts into a set of polygons.
Public Sub Test()
' Get a handle on the first layer in map
' This is an empty polygon shapefile
Dim pMXdocument As IMxDocument
Set pMXdocument = ThisDocument
Dim pMap As IMap
Set pMap = pMXdocument.FocusMap
Dim pLayer As ILayer
Set pLayer = pMap.Layer(0)
Dim pFeatureLayer As IFeatureLayer
Set pFeatureLayer = pLayer
Dim pFeatureClass As IFeatureClass
Set pFeatureClass = pFeatureLayer.FeatureClass
Dim pSR As ISpatialReference
Dim pGD As IGeoDataset
Set pGD = pFeatureLayer
Set pSR = pGD.SpatialReference
' Create a geometry bag of polylines, this will create a grid
Dim p1 As IPoint
Dim p2 As IPoint
Dim pPolyline As IPolyline
Dim pGB As IGeometryBag
Set pGB = New GeometryBag
Set pGB.SpatialReference = pSR
Dim pGC As IGeometryCollection
Set pGC = pGB
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 0, 0
p2.PutCoords 1, 0
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 1, 0
p2.PutCoords 2, 0
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 0, 0
p2.PutCoords 0, 1
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 0, 1
p2.PutCoords 0, 2
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 0, 2
p2.PutCoords 1, 2
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 1, 2
p2.PutCoords 2, 2
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 2, 2
p2.PutCoords 2, 1
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 2, 1
p2.PutCoords 2, 0
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 1, 1
p2.PutCoords 1, 2
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 1, 1
p2.PutCoords 2, 1
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 1, 1
p2.PutCoords 1, 0
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
Set p1 = New Point
Set p2 = New Point
p1.PutCoords 1, 1
p2.PutCoords 0, 1
Set pPolyline = New Polyline
pPolyline.FromPoint = p1
pPolyline.ToPoint = p2
pGC.AddGeometry pPolyline
' Get enumerate over Geometry bag
Dim pEnumGeometry As IEnumGeometry
Set pEnumGeometry = pGB
' create invalidate area
Dim pIA As IInvalidArea
Set pIA = New InvalidArea
Dim pSD As IScreenDisplay
Set pSD = pMXdocument.ActiveView.ScreenDisplay
Set pIA.Display = pSD
' Convert polylines into polygons
Dim pFeatureConstruction As IFeatureConstruction
Set pFeatureConstruction = New FeatureConstruction
pFeatureConstruction.ConstructPolygonsFromGeometries Nothing, pFeatureClass, Nothing, False, pEnumGeometry, pIA, 0.01
' Report how many polygons
MsgBox CStr(pFeatureClass.FeatureCount(Nothing))
End Sub