The accepted answer doesn't cut it because if a user de-selects a row the list is not updated accordingly.
Here is what I suggest instead:
Private Sub CommandButton2_Click()
Dim lItem As Long
For lItem = 0 To ListBox1.ListCount - 1
If ListBox1.Selected(lItem) = True Then
MsgBox(ListBox1.List(lItem))
End If
Next
End Sub
Courtesy of http://www.ozgrid.com/VBA/multi-select-listbox.htm