To use KeepNETObject, you first need to load .NET/Link using Needs["NETLink`"].
KeepNETObject allows an object to "escape" from the current NETBlock.
It only has an effect if the object was in fact slated to be released by that block.
The object is promoted to the "release" list of the next-enclosing NETBlock, if there is one. The object will be released when that block ends (unless KeepNETObject is called again in the outer block).