Next loop is not working

You'll want to disable the Event trigger once you've set it off, and then turn it back on when you're done.

Private Sub ListBox1_Change()
Dim a As Long

If ListBox1.Selected(0) = True Then
    Application.EnableEvents = False
    For a = 1 To listobox1.ListCount
        ListBox1.Selected(a) = True
    Next
End If

Application.EnableEvents = True
End Sub

Assuming listbox is on a userform

Option Explicit

Private mUpdatingList As Boolean

Private Sub UserForm_Initialize()

    mUpdatingList = True
    With ListBox1
        .MultiSelect = fmMultiSelectMulti
        .ListStyle = fmListStyleOption
        .List = Array("Select All", 1, 2, 3, 4, 5)
    End With
    mUpdatingList = False
    
End Sub


Private Sub ListBox1_Change()
    Dim a As Long
    Dim state As Long
    
    If mUpdatingList Then Exit Sub
    
    If ListBox1.ListIndex = 0 Then
        mUpdatingList = True
        state = ListBox1.Selected(0)
        For a = 1 To ListBox1.ListCount - 1
            ListBox1.Selected(a) = state
        Next
        If state Then
            ListBox1.List(0) = "Deselect All"
        Else
            ListBox1.List(0) = "Select All"
        End If
        mUpdatingList = False
    End If
    
End Sub