When the Form.KeyPreview property is set to true, the Form's KeyPress, KeyDown and KeyUp events will be fired even before the Control with the focus' corresponding events. You may choose to forward these message to the Control after processing them in the Form's event handlers (this happens by default) or set the e.Handled property to true (in the event argument) to prevent the message from being sent to the Control with focus.

Contributed from George Shepherd's Windows Forms FAQ