Well I was curious so I set up a simple test on a simple form and you're
right - it doesn't work. Here's what the Help (Access 2002) has to say:

"The second click may have no effect (for example, if the Click macro or
event procedure opens a modal dialog box in response to the first Click
event). To prevent the second Click macro or event procedure from running,
put a CancelEvent action in the DblClick macro or use the Cancel argument in
the DblClick event procedure. Note that, generally speaking, double-clicking
a command button should be discouraged."

Clear as mud right? FWIW, I tried using the Cancelevent and it still doesn't
work. Regardless, I still would agree with their last point -
"double-clicking a command button should be discouraged." I think it makes
for a confusing UI - command buttons should be activated by a single click.