You can't set the focus to the form in the way you want - it doesn't have any user editable parts - the focus goes to the textbox because it is the first control in the Tab Order which can accept user input.
If you want to handle the KeyDown event for all the controls in your form, as well as teh form itself, then you have to add the handler to each, either in the designer, or in the form Load event:
private void myForm_Load(object sender, EventArgs e)
{
foreach (Control c in Controls)
{
c.KeyDown += new KeyEventHandler(myForm_KeyDown);
}
}
void myForm_KeyDown(object sender, KeyEventArgs e)
{
...
}