use this code in any event, say button_click event
Label1.Text = ""
For i = 0 To CheckedListBox1.CheckedItems.Count - 1
Label1.Text = String.Concat(Label1.Text, vbCrLf, CheckedListBox1.CheckedItems(i))
I have checked it on my computer. It shows list of all checked items in the label.
Please recheck it, it should work.
There is an excellent sample program listed at the bottom of this page http://msdn.microsoft.com/en-us/library/… that shows you how to gather data from a checked list box.