Try something like..
Dim FileNumber As Integer = FreeFile()
FileOpen(FileNumber, "d:\path\filename.txt", OpenMode.Output)
For Each Item As Object In ListBox1.Items
PrintLine(FileNumber, Item.ToString)
Next
FileClose(FileNumber)
Or,
Private Sub btnSave_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles btnSave.Click
Using SW As New IO.StreamWriter("d:\ListBox1.txt", True)
For Each itm As String In Me.ListBox1.Items
SW.WriteLine(itm)
Next
End Using
End Sub