First obvious idea would be to use a special listbox class with all code inside instead of repeating code for each listbox. But my main problem is to understand why do we need code in each of these methods? Would KeyPress and InteractiveChange be enough?

This is how the events fire in list boxes - obviously, it does not include the mouse events:

Action: Scroll through list using the down arrow
   KeyPress( 24, 0 )
   InteractiveChange
   Click
   When

Action: Select an item in the list using the mouse 
   InteractiveChange
   Click
   When

Action: Select an item in the list by pressing the <ENTER> key
   KeyPress( 13, 0 )
   DblClick
   Valid

Action: Exit the control by clicking elsewhere with the mouse
   LostFocus

Action: Exit the control using the <TAB> key
   KeyPress( 9, 0 )
   LostFocus