You can't use a multi-select list box as criteria on the query. You would need to do it in code as you have to iterate through the listbox to get the selected items.
A good way to do this is to remove the criteria from the query and then use the Where Clause of the DoCmd.OpenReport code to send the values. Something like this:
Code:
Dim strWhere As String
Dim varItem As Variant
If Me.ListBoxNameHere.ItemsSelected.Count > 0 Then
For Each varItem In Me.ListBoxNameHere.SelectedItems
strWhere = strWhere & Chr(34) & Me.ListBoxNameHere.ItemData(varItem) & Chr(34) & ","
Next
strWhere = Left(strWhere, Len(strWhere)-1)
strWhere = "[CityFieldNameHere] In(" & strWhere & ")"
DoCmd.OpenReport "ReportNameHere", acViewPreview, , strWhere