Underscore removed from Checked Listbox

In Visual Studio 2015, under Windows 7, I've created a VB application that fills a Checked Listbox with file names from one of my folders.
Some of the file names contain an underscore character but when shown in the listbox, that character
is replaced with a space. In the code, when I select that item and move its contents to a labelbox, the underscore shows up.
Is there a simple Tool > Option I'm missing in set up? (I've read about textblock and not at all happy with that solution.)

Thank you,
Paul