This smells like homework to me.
But in any case:
string sql = string.Format("SELECT [column1],[column2],[column3]FROM [table1] WHERE [column1] ={0} and [column2] = {1} and [column3] = {2}",value1,value2,value3);
Substitute column names, table name and value varaibles as needed.
In that case do the following:
StringBuilder sb = new StringBuilder("SELECT ITEMCODE, BROKTYPE,BROKRATE,TRANRATE,TranType,uptostdt,MARTYPE,MARRATE,PARTYTYPE FROM PITBROK ");
if(cheakedlistbox1.SelectedItems.Count > 0 | cheakedlistbox1.SelectedItems.Count > 0 | cheakedlistbox1.SelectedItems.Count > 0)
{
string values = string.Empty;
sb.Append("Where ");
foreach (ListItem li in CheckBoxList1.Items)
{
if (li.Selected)
values += li.Value + ","
}
sb.Append(string.Format("PARTYNAME in ({0}) AND ", values.Remove(values.Length -1,1));
values=string.Empty
foreach (ListItem li in CheckBoxList2.Items)
{
if (li.Selected)
values += li.Value + ","
}
sb.Append(string.Format("EXCHANGETYPE in ({0}) AND ", values.Remove(values.Length -1,1));
foreach (ListItem li in CheckBoxList3.Items)
{
if (li.Selected)
values += li.Value + ","
}
sb.Append(string.Format("NAME in({0}) AND ", values.Remove(values.Length -1,1));
string sql = sb.ToString();
sql = sql.Remove(sql.Length-5,5);
}