If the CheckListBox is not sufficient (and it will usually be), then the "modern" approach will be to use a ListView or similar component with the "Transfer" column. Check the inline button in this column, one for each row, so it only takes one click to move an item from one to another.
You see this everywhere in Vista, usually with hyperlinks, not buttons. Instead of clicking on an item and then selecting an action, you click the action at the item level.
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