Edit: It appears I was wrong in assuming that VB.NET doesn't allow Case ORing. I was thinking in C# and IL and it appears I was wrong.
However, as someone pointed out, the reason your code did not work was because Case 2 Or 3 was evaluating 2 Or 3 as a bitwise or and hence evaluating to Case 3.
For clarification:
2 binary = 0000 0010
3 binary = 0000 0011
2 Or 3 binary = 0000 0011 (= 3)
Select Case 2
Case 0 '--> no match
Case 1 '--> no match
Case 2 Or 3 '(equivalent to Case 3 --> no match)
End Select
However, I feel that I should point out that for the sake of performance, one should not use such constructs. When the compiler encounters Select statements (switch in C#) it will try to compile them using lookup tables and the switch MSIL instruction but in the case where you have something like Case 1,2,11,55 the compiler will not be able to convert that to a lookup table and it will have to use a series of compares (which is like using If.. Else).
The point is that in order to really take advantage of the Select statement, the cases should be designed with that in mind. Otherwise, the only benefit is code readability.
A well designed switch is an O(1) operation whereas an poorly designed one (which is equivalent to a series of If..Then..Else statements) is an O(n) operation.