Here you have an axample ;)
Insert button on the form (Button1) and copy and paste the code below.
Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
Dim i As Integer = 0, cb As Object = Nothing
Dim wrdApp As Object = Nothing, wrdDoc As Object = Nothing, wrdRng As Object = Nothing
Try
wrdApp = CreateObject("Word.Application")
wrdDoc = wrdApp.Documents.Add()
wrdRng = wrdDoc.Range
For i = 0 To Me.CheckedListBox1.Items.Count - 1
cb = Me.CheckedListBox1.Items(i)
wrdRng.InsertAfter("Item index: " & i.ToString & " - checked: " & Me.CheckedListBox1.GetItemChecked(i))
wrdRng.InsertParagraphAfter()
Next
wrdApp.Visible = True
Catch ex As Exception
MsgBox(ex.Message, MsgBoxStyle.Exclamation, "Error...")
Finally
cb = Nothing
wrdRng = Nothing
wrdDoc = Nothing
wrdApp = Nothing
End Try
End Sub