I figured that I would add to this post since I was helped out with a more complete answer:
For a *non multi select* listbox, you can test for for the existence of a selected record by simply checking the bound columns value (assuming it is not blank in which you would have to look for = "" too...:
If IsNull(lstItems.Column(0)) Then
MsgBox ("Select a record for deletion.")
' do whatever..
For a multi select listbox, which will always return null when tested as above, use the .ItemsSelected.Count:
If Me.lstItems.ItemsSelected.Count = 0 Then
MsgBox ("You must Select Record(s) for deletion.")
' do whatever
Now, to get the values for what was selected, as stated above, you must for each through the listbox's records... but, just to check if anything was selected at all, the above works.