As far as I know Excel does not support a "true" polyline directly, although you can build one by grouping individual line segments.
This code will allow you to work with those individual segments:
Dim shp As Shape
Dim aryShapes As Variant
If TypeName(Selection) = "GroupObject" Then
Set go = Selection 'GroupObject (Stop & explore with Locals window)
For Each shp In ActiveSheet.Shapes(Selection.Name).GroupItems
Debug.Print shp.Name, shp.Type 'see MsoShapeType Enumeration in VBA Help