This is impossible if you use .NET FCL, because this is not really needed. For your information, "focus" means "keyboard focus" and nothing else. The difference you see on screen is no more than a visual clue to show the focus. As a form has no keyboard focus, it does not accept keyboard events at all, by definition.
You still can capture the keyboard and many other events dispatched to the processes other then your application, but it is impossible to do with pure C#. It looks like the only way to capture such event it the Windows Hook: http://msdn.microsoft.com/en-us/library/windows/desktop/ms632589%28v=vs.85%29.aspx
So, why cannot you simply install such hook with C# and P/Invoke? Well, because, it has to be the Global Hook
, as you need to capture keyboard events system-wide. And, according to Microsoft Hook documentation, the hook function should reside in a separate native (unmanaged) DLL. You can create such DLL, but not using C#. Then you can develop some mechanism to load DLL and communicate between this DLL and your .NET application. I've done this with unmanaged application, but it's not a problem to do it with .NET.