Paulo, troque a propriedade Style do listbox para lbOwnerDrawFixed e escreva o código no evendo OnDrawItem:
CODE
procedure TForm1.ListBox1DrawItem(Control: TWinControl; Index: Integer;
Rect: TRect; State: TOwnerDrawState);
begin
with Control as TListBox do
begin
if odSelected in State then
begin
Canvas.Font.Color := clRed;
Canvas.Brush.Color := clMenuHighlight
end else
begin
Canvas.Font.Color := clWindowText;
Canvas.Brush.Color := clWindow;
end;
Canvas.FillRect(Rect);
Canvas.TextOut(Rect.Left +2, Rect.Top +1, Items[Index]);
end;
end;