Hi Waghmare,

Check below code.

HTML

<asp:ScriptManager runat="server">
</asp:ScriptManager>
<asp:UpdatePanel ID="Up1" runat="server">
    <ContentTemplate>
        <asp:ListBox ID="lstFruits" runat="server" SelectionMode="Multiple" name="fruits" onchange="return Validate()">
            <asp:ListItem Text="Mango" Value="1" />
            <asp:ListItem Text="Apple" Value="2" />
            <asp:ListItem Text="Banana" Value="3" />
            <asp:ListItem Text="Guava" Value="4" />
            <asp:ListItem Text="Orange" Value="5" />
        </asp:ListBox>
        <asp:Button ID="Button1" Text="Submit" runat="server" OnClick="Submit" OnClientClick="return Validate()" />
        <br />
        <span id="lblMessage" style="display: none; color: red;">Please select at least one fruit.</span>
    </ContentTemplate>
</asp:UpdatePanel>
<script type="text/javascript" src="http://ajax.googleapis.com/ajax/libs/jquery/1.9.1/jquery.min.js"></script>
<link rel="stylesheet" type="text/css" href="http://cdnjs.cloudflare.com/ajax/libs/twitter-bootstrap/3.0.3/css/bootstrap.min.css" />
<script type="text/javascript" src="http://cdnjs.cloudflare.com/ajax/libs/twitter-bootstrap/3.0.3/js/bootstrap.min.js"></script>
<link rel="stylesheet" type="text/css" href="http://cdn.rawgit.com/davidstutz/bootstrap-multiselect/master/dist/css/bootstrap-multiselect.css" />
<script type="text/javascript" src="http://cdn.rawgit.com/davidstutz/bootstrap-multiselect/master/dist/js/bootstrap-multiselect.js"></script>
<script type="text/javascript">
    $(function () {
        SetMultiSelect();
        Sys.WebForms.PageRequestManager.getInstance().add_endRequest(endRequestHandle);
        function endRequestHandle(sender, Args) {
            SetMultiSelect();
        };
    });

    function SetMultiSelect() {
        $('[id*=lstFruits]').multiselect({
            includeSelectAllOption: false
        });
    }

    function Validate() {
        $("#lblMessage").hide();
        if ($("#lstFruits option:selected").length > 0) {
            return true;
        } else {
            $("#lblMessage").show();
            return false;
        }
    }
</script>

Code

C#

protected void Submit(object sender, EventArgs e)
{
    string message = "";
    foreach (ListItem item in lstFruits.Items)
    {
        if (item.Selected)
        {
            message += item.Text + " " + item.Value + "\\n";
        }
    }

    ScriptManager.RegisterClientScriptBlock(this, this.GetType(), "alert", "<script>alert('Selected Fruits are\\n" + message + "')</script>", false);
}

VB.Net

Protected Sub Submit(ByVal sender As Object, ByVal e As EventArgs)
    Dim message As String = ""
    For Each item As ListItem In lstFruits.Items
        If item.Selected Then
            message += item.Text & " " + item.Value & "\n"
        End If
    Next
    ScriptManager.RegisterClientScriptBlock(Me, Me.GetType(), "alert", "<script>alert('Selected Fruits are\n" & message & "')</script>", False)
End Sub