How the key press event works ?

The problem with the KeyPress event is that it happens for every key, and it is directed at the control which has the "input focus" - which means that whichever textbox current accepts typing, that's the textbox for which the KeyPress event is fired - you wouldn't normally get it at the Form, which is really what you want. And KeyPress isn't fired at all for F4, although KeyDown and KeyUp are, KeyPress is only fired for printable characters anyway.

That's an unusable way to do it - the normal action in Windows is for ENTER to accept form data, and that's easy to do, it's all built in to WinForms anyway. F4 is unusual, and likely to confuse users so I strongly suggest that you don't go with it.
You can do it - but you'll have to override the ProcessCmdKey function for the form, and you will probably make your users hate the software!

There's another way to do this in WinForms without your having to override 'ProcessCommandKey, set Form 'KeyPreView to 'true, etc.; It's a little "hackish," but I hope it will round-out the discussions here.

1. Put a MenuStrip on the Form: if you don't want to use the MenuStrip to show some Menu Items, set its 'Visible Property to 'false.

2. Add a ToolStripMenuItem to the MenuStrip in the usual way. Set its ShortCutKeys to the key combination you want to trigger an event. Set its 'Visible Property to 'false.

3. Add a Click EventHandler to the ToolStripMenuItem, and write the code you wish executed when the Click happens.

Example:

I add a MenuStrip, 'menuStrip11. I add a ToolStripMenuItem, 'AltF4ShortCut with the key-combination set to 'Alt and 'F4. In the Designer view of the Form, you'll see:

// AltF4ShortCut
// 
this.AltF4ShortCut.Name = "AltF4ShortCut";
this.AltF4ShortCut.ShortcutKeys = ((System.Windows.Forms.Keys)((System.Windows.Forms.Keys.Alt | System.Windows.Forms.Keys.F4)));
this.AltF4ShortCut.Size = new System.Drawing.Size(52, 24);
this.AltF4ShortCut.Text = "Save";
this.AltF4ShortCut.Visible = false;
this.AltF4ShortCut.Click += new System.EventHandler(this.AltF4ShortCut_Click);

Now, the Click EventHandler will fire no matter what Control has focus in the run-time Form; I could have the current focus set to a TextBox in a Panel in a UserControl, and it will still fire.

Here's what the Click EventHandler might look like:

private void AltF4ShortCut_Click(object sender, EventArgs e)
{
    if (MessageBox.Show(
            "Save now ?",
            "Save Data",
            MessageBoxButtons.OKCancel,
            MessageBoxIcon.Question,
            MessageBoxDefaultButton.Button1,
            MessageBoxOptions.DefaultDesktopOnly
        )
        == DialogResult.OK)
    {
        //  code to save goes here
    }
}

I think it's safe to assume that a WinForm app with menu item with shortcut key-combinations defined installs its own lower-lever handler for Keyboard events, perhaps even using whatever the ProcessCmdKey over-ride uses under-the-hood (maybe WndProc ?).