You cannot prevent the user from moving focus away from any of your controls. Even if you could, it would be a great malicious act against the user, who has every right to focus whatever control in the whole system; nobody would use your projects again if you had done such tricks.
Instead, you can capture the event of loosing the focus (ignoring the cases when the focus is lost due to activation of other windows, perhaps the windows of other applications) and, say, show some error condition (incomplete or invalid data). This is how, for example:
myEditBox.LostFocus += (sender, eventArgs) => { };
Please see:
http://msdn.microsoft.com/en-us/library/system.windows.forms.control.lostfocus(v=vs.110).aspx[
^].
—SA