You have to perform the check outside the validation function which is called for every key press. That is for example when the user activates a button in the form that contains the input field.
Note also that there is another error in your length check:
You check for long numbers only within the short condition so that that will never be true.
Put something like this in the handler that is executed when the OK button is pressed (or any other event / button):
If txtBoxPhoneNumber.Text.Length < 9 Then
MsgBox("Phone numbers must be at least 9 digits long")
txtBoxPhoneNumber.Focus()
End If
If txtBoxPhoneNumber.Text.Length > 11 Then
MsgBox("Phone numbers must be of a maximum of 11 digits long")
txtBoxPhoneNumber.Focus()
End If
Note also that I have removed the clearing of the input field so that the user can edit instead of having to enter the full number again.