Since you know where the lines start and end you can determine if the mouse is over one or not by doing the maths...
Code:
Private Sub Form_MouseMove(Button As Integer, Shift As Integer, X As Single, Y As Single)
Dim sX As Long, eX As Long, sY As Long, eY As Long
Dim Ln As Line, Over As Boolean, Grad As Single
  
  For Each Ln In Line1
    Over = False
    With Ln
      'first check if the mouse is in the bounds of the lines rectangle
      If .X1 < .X2 Then sX = .X1: eX = .X2 Else sX = .X2: eX = .X1
      If X >= sX Then
        If X <= eX Then
          If .Y1 < .Y2 Then sY = .Y1: eY = .Y2 Else sY = .Y2: eY = .Y1
          If Y >= sY Then
            If Y <= eY Then
              'if so check if the mouse is near the line
              If eX <> sX Then 'to avoid div 0
                Grad = (eY - sY) / (eX - sX)
                If Abs((X - sX) * Grad - (Y - sY)) <= 45 Then Over = True
                '<= 45 assumes a scalemode of twips at 15/pixel
              Else
                Over = True
              End If
            End If
          End If
        End If
      End If
    End With
    
    If Over = True Then
      If Ln.BorderWidth <> 3 Then Ln.BorderWidth = 3
    Else
      If Ln.BorderWidth <> 1 Then Ln.BorderWidth = 1
    End If
  Next Ln
  
End Sub
It might be not quite be what you were hoping for but it works.