Looping through a Scripting.Dictionary using index/item number

According to the documentation of the Item property:

Sets or returns an item for a specified key in a Dictionary object.

In your case, you don't have an item whose key is 1 so doing:

s = d.Item(i)

actually creates a new key / value pair in your dictionary, and the value is empty because you have not used the optional newItem argument.

The Dictionary also has the Items method which allows looping over the indices:

a = d.Items
For i = 0 To d.Count - 1
    s = a(i)
Next i

Adding to assylias's answer - assylias shows us D.ITEMS is a method that returns an array. Knowing that, we don't need the variant array a(i) [See caveat below]. We just need to use the proper array syntax.

For i = 0 To d.Count - 1
    s = d.Items()(i)
    Debug.Print s
Next i()

KEYS works the same way

For i = 0 To d.Count - 1
    Debug.Print d.Keys()(i), d.Items()(i)
Next i

This syntax is also useful for the SPLIT function which may help make this clearer. SPLIT also returns an array with lower bounds at 0. Thus, the following prints "C".

Debug.Print Split("A,B,C,D", ",")(2)

SPLIT is a function. Its parameters are in the first set of parentheses. Methods and Functions always use the first set of parentheses for parameters, even if no parameters are needed. In the example SPLIT returns the array {"A","B","C","D"}. Since it returns an array we can use a second set of parentheses to identify an element within the returned array just as we would any array.

Caveat: This shorter syntax may not be as efficient as using the variant array a() when iterating through the entire dictionary since the shorter syntax invokes the dictionary's Items method with each iteration. The shorter syntax is best for plucking a single item by number from a dictionary.

Using d.Keys()(i) method is a very bad idea, because on each call it will re-create a new array (you will have significant speed reduction).

Here is an analogue of Scripting.Dictionary called "Hash Table" class from @TheTrick, that support such enumerator: http://www.cyberforum.ru/blogs/354370/blog2905.html

Dim oDict As clsTrickHashTable

Sub aaa()
    Set oDict = New clsTrickHashTable

    oDict.Add "a", "aaa"
    oDict.Add "b", "bbb"

    For i = 0 To oDict.Count - 1
        Debug.Print oDict.Keys(i) & " - " & oDict.Items(i)
    Next
End Sub