The answer above is good, but I have some specifications to it, so let's rewrite it and see what I mean:
For i = 0 To List1.ListCount - 1
If List1.Selected(i) Then
if i<>0 then Label1.Caption = Label1.Caption & vbCrLf
Label1.Caption = Label1.Caption & List1.List(i)
End If
Next i
I mean that you add the linefeed character (vbCrLf or chr$(13)) only if needed, I mean only if it is a next item to add, otherwise the caption would contain an unneeded linefeed and may cause problems when redimensioned.