Try the same code with TextBox1_MouseDown. It should work.
Private Sub TextBox1_MouseDown(ByVal Button As Integer, ByVal Shift As Integer, ByVal X As Single, ByVal Y As Single)
With TextBox1
.SetFocus
.SelStart = 0
.SelLength = Len(.Text)
End With
MsgBox "Text in TextBox1 is selected"
End Sub