It's almost the same, just put the code I gave you in the SelectedIndexChanged of the ListBox and you're fine. Something like this: (change the listbox items names to your actual names)

Code:
Private Sub ListBox1_SelectedIndexChanged(sender As System.Object, e As System.EventArgs) Handles ListBox1.SelectedIndexChanged
        Dim UserCmd As String = ListBox1.Text
        Select Case UserCmd
            Case "Command Prompt"
                Process.Start(Environment.GetFolderPath(Environment.SpecialFolder.System) & "\cmd.exe")
            Case "System Configuration"
                Process.Start(Environment.GetFolderPath(Environment.SpecialFolder.System) & "\msconfig.exe")
            Case "System Information"
                Process.Start(Environment.GetFolderPath(Environment.SpecialFolder.System) & "\msinfo32.exe")
            Case "Documents"
                Process.Start(Environment.GetFolderPath(Environment.SpecialFolder.MyDocuments))
            Case "Drive C:\"
                Process.Start("C:\")
            Case "Management Console"
                Process.Start(Environment.GetFolderPath(Environment.SpecialFolder.System) & "\wmimgmt.msc")
        End Select
    End Sub
Now your user just need to click "System Configuration" item and msconfig will run.

Hope that helps