You cannot use comparation in cases, they must be values.
It could work for this:
dim a
repeat:
a=inputbox("Enter the value of a between 0 and 5")
if a<0 or a>5 then
msgbox("You entered an incorrect value")
goto repeat
end if
select case a
case (0)
msgbox("a is zero")
case (1)
msgbox("a is 1")
case (2)
msgbox("a is 2")
case else
msgbox("a is between 3 and 5")
end select
For what you want to do you have to use a chain of if else if.