So, there are a couple of places that you could start. First, you could go here:
Form Events (System.Windows.Forms)[
^] and look through the events. Just do a find for Focus and you'll find an event called "GotFocus".
The other thing that you can do is go into your debugger and see what events are available. I'll assume you're using Visual Studio since that's the more common. Somewhere in VS you will find the Properties Window. It looks like this:
http://yfrog.com/f3propertie[
^].
You'll notice the lightning bold towards the top. If you click on that, it will show you all of the events that are available to hook in to. Now this will not show you all of the events but it shows you quite a few.
In this case, though, GotFocus is not one of them. So, to hook it, you can do it two ways. The VB version of Visual Studio is nice because it still provides you with drop-downs in the code editor with all of the events that you can hook. So, go into your code for the form and look at the top left drop-down. From it, select "(Form1 Events)" (or whatever your form name is). Then in the right drop-down, select the GotFocus event. This will set up the event handler and add the code.
For future work, though, I would look into Event programming more in depth and see the other ways you can do it. And, seriously, msdn is always the place to start if you want to know something about a control.