I think you're referring to the Windows Forms CheckedListBox control - be more specific in your queries
Use the ItemCheck event. the argument 'e' will have all the required info like the item number, current value & previous value when clicked.
Here's an example event handler
Private Sub CheckedListBox1_ItemCheck(ByVal sender As Object, ByVal e As System.Windows.Forms.ItemCheckEventArgs) Handles CheckedListBox1.ItemCheck
MsgBox("Check change on row : " & e.Index & vbNewLine & _
"Current State : " & e.CurrentValue.ToString() & vbNewLine & _
"New State after click : " & e.NewValue.ToString())
End Sub