John,
I was playing with something like the code below and sometimes all the records fall in and sometimes i lose one or two points but your solution seems to work better so thank you.
P.S.
i wouldn't mind if you tell me why my code lost those points.
Dim objshape As MapPoint.Shape

Set objshape = objMap.Shapes.AddShape(geoShapeRectangle, objMap.SelectedArea.Location, objMap.SelectedArea.Width / 100, objMap.SelectedArea.Height / 100)
objshape.Select
For Each objDataSet In objMap.DataSets
If InStr(objDataSet.Name, "My Pushpins") Then
Set objRecordset = objDataSet.QueryShape(objshape)
Do Until objRecordset.EOF
objRecordset.Pushpin.Highlight = True
objRecordset.MoveNext
Loop
End If
Next
objshape.Delete