The focus is not "forced" to stay in the textbox, if you do not set e.Cancel
= True in its Validating event handler.  So, leave that away from the event
handler and it will
be possible to move the focus from one control to another, even with invalid
data.  

You can still use an errorprovider to inform the user of the bad data.

As for the Esc and Enter key behaviours, try the foloowing:

   Private _prevTextBox1Value As String

   Private Sub TextBox1_Enter(ByVal sender As Object, ByVal e As
System.EventArgs) Handles TextBox1.Enter
       _prevTextBox1Value = TextBox1.Text
   End Sub

   Private Sub TextBox1_KeyDown(ByVal sender As Object, ByVal e As
System.Windows.Forms.KeyEventArgs) Handles TextBox1.KeyDown
       If e.KeyCode = Keys.Escape Then
           TextBox1.Text = _prevTextBox1Value
       End If
   End Sub

   Private Sub TextBox1_KeyPress(ByVal sender As Object, ByVal e As
System.Windows.Forms.KeyPressEventArgs) Handles TextBox1.KeyPress
       If e.KeyChar = vbCr Then
           SendKeys.Send("{Tab}")
           e.Handled = True
       End If
   End Sub

Hope this helps,

Joris

Kevin,

I understand your are using .NET2.0 because you mentioned DataGridView
controls. In this case don't you use the MaskedTextBox control? This way you
can prevent users of making mistakes instead of showing them error messages
for wrong input.