The CheckedListBox control always seemed rather half-baked to me, so I don't use it often.
Something like this works:
With CheckedListBox1
If .SelectedIndex > -1 Then
If .CheckedIndices.Contains(.SelectedIndex) Then
MessageBox.Show(.SelectedItem.ToString & " is checked.")
Else
MessageBox.Show(.SelectedItem.ToString & " is not checked.")
End If
End If
End With