You would have to use for instance a timer to check for the keystate, using getasynckeystate api:

Code:
Private Declare Function GetAsyncKeyState Lib "user32" (ByVal vKey As Long) As Integer
Const VK_SCROLL = &H91

Private Sub Timer1_Timer()
    If GetAsyncKeyState(VK_SCROLL) Then MsgBox "Scroll Lock pressed"
End Sub