How to fall through a Select Case in Excel VBA?

Select Case cmd
    case "ONE", "TWO":   
                  if cmd = "ONE" THEN
                      MsgBox "one"
                  end if
                  MsgBox "two"

    case "THREE": MsgBox "three"

End select

Some if could do the job:

If cmd = "ONE" Then 
    MsgBox "one"
    cmd = "TWO"
End If
If cmd = "TWO" Then 
    MsgBox "two"
    cmd = "THREE"
End If
If Cmd = "THREE" Then 
    MsgBox "three"
End If

You'll just have to do it the long way.

Select Case cmd

    case "ONE":   MsgBox "one"
                  MsgBox "two"
                  MsgBox "three"

    case "TWO":   MsgBox "two"
                  MsgBox "three"

    case "THREE": MsgBox "three"

End select