You need to loop through the listbox but as soon as you find one thing selected, you can get out.
Code:
Dim blnHasSelected As Boolean
Dim i As Long

        For i = 0 To List.ListCount - 1
           If List1.Selected(i) = True Then
              blnHasSelected = True
              Exit For
           End If
        Next
    If blnHasSelected = False Then
       MsgBox "You have not selected anything.", vbOKOnly + vbInformation, "Select Something"
    End If