Thanks to Joost Tack.

Function CapsLock() As Boolean
    CapsLock = (GetKeyState(VK_CAPITAL) And 1 = 1)
End Function

Private Sub Form_Load()
    If CapsLock() = 1 Then Label1 = "On" Else Label1 = "Off"
End Sub

Private Sub cmdToggle_Click()
    GetKeyboardState kbArray
    kbArray.kbByte(VK_CAPITAL) = _
        IIf(kbArray.kbByte(VK_CAPITAL) = 1, 0, 1)
    SetKeyboardState kbArray

    If CapsLock() Then
        Label1.Caption = "On"
    Else
        Label1.Caption = "Off"
    End If
End Sub

Private Sub cmdTurnOn_Click()
    GetKeyboardState kbArray
    kbArray.kbByte(VK_CAPITAL) = 1
    SetKeyboardState kbArray

    If CapsLock() Then
        Label1.Caption = "On"
    Else
        Label1.Caption = "Off"
    End If
End Sub

Private Sub cmdTurnOff_Click()
    GetKeyboardState kbArray
    kbArray.kbByte(VK_CAPITAL) = 0
    SetKeyboardState kbArray

    If CapsLock() Then
        Label1.Caption = "On"
    Else
        Label1.Caption = "Off"
    End If
End Sub