Ciao sei sulla buona strada.
Ti posto la sub rifatta

Private Sub SaveList(ByVal lst As ListBox, ByVal file As String)

Dim I As Integer
Dim a As String

On Error GoTo err

FileOpen(1, file, openmode.output) file For Output As #1
For I = 0 To lst.Items.Count - 1
a = lst.Items(I)
Write(1, a)
Next
FileClose(1)
Exit Sub
err:
MsgBox("There has been a error!", vbOKOnly, "Error")
End Sub

Ciao