Say that I have a CheckedListBox with items \"1\", \"2\", \"3\", \"4\", and \"5\" in that order and I want to select \"2\", \"3\", and \"4\" by selecting \"2\" then holding
It looks like multiple selection is not supported for the CheckedListBox control (See MSDN). It does support multiple checkboxes being checked, but not multiple items being selected (highlighted) at once.
I agree with the other answer that a ListView is probably the best way to get both checkboxes and multiple selection.