private void button1_Click(object sender, EventArgs e)
{
    checkedListBox1.SetItemCheckState(0, CheckState.Indeterminate);
}

private void checkedListBox1_ItemCheck(object sender, ItemCheckEventArgs e)
{
    if (((CheckedListBox)sender).GetItemCheckState(e.Index) ==
        CheckState.Indeterminate)
        e.NewValue = CheckState.Indeterminate;
}