Have you tried changing the SelectionMode attribute to "One"?
$checkedlistbox2.SelectionMode = "One"
Alternatively, you could use a radio button control, which allows only one selection at a time? Something like this:
$radioButton1 = New-Object System.Windows.Forms.RadioButton
$radioButton2 = New-Object System.Windows.Forms.RadioButton
$radioButton1.Checked = $True
$radioButton1.Name = "W2K"
$radioButton1.Text = "W2K"
$radioButton1.Location = New-Object System.Drawing.Point(10,10)
$radioButton2.Name = "WXP"
$radioButton2.Text = "WXP"
$radioButton2.Location = New-Object System.Drawing.Point(10,30)
$form.Panel1.Controls.Add($radioButton1)
$form.Panel1.Controls.Add($radioButton2)