Checkbox list click behaviour

We're talking about a dialog in a Windows desktop application:

The user types in one of the text fields, then grabs the mouse and clicks on an item in the checkbox list.

What should happen? Should the clicked item became selected and/or checked, or should the whole list get the focus first and the item checked only on the second click? Or what else?

To make it more complicated, if the focus is on the checkbox list, pressing a key will scroll the list to the first item with that letter.