You might want to use the filter property of the form, and then you can just set it to the text of your where clause (without the word WHERE). Maybe this would work...
Private Sub cmdSearch_Click()
Dim varItem As Variant
Dim strSearch As String
For Each varItem In Me!GroupList.ItemsSelected
strSearch = strSearch & "," & Me!GroupList.ItemData(varItem)
If Len(strSearch) Then
strSearch = Mid(strSearch, 2)
Me.Filter = "[Group Affiliations] in (" & strSearch & ")"
Me.FilterOn = True
Me.FilterOn = False