Another variant on Lunatik's response is to use a local boolean and the change event so that the row can be highlighted upon initializing, but deselected and blocked after a selection change is made by the user:
Private Sub lbx_Change()
If Not bHighlight Then
If Me.lbx.Selected(0) Then Me.lbx.Selected(0) = False
End If
bHighlight = False
End Sub
When the listbox is initialized you then set bHighlight and lbx.Selected(0) = True, which will allow the header-row to initialize selected; afterwards, the first change will deselect and prevent the row from being selected again...