I think I need to supply some sample code to illustrate the issue.  My
datetimepicker is not the first control on the form.  I've tried
playing around with ActiveControl and setting focus to the
DateTimePicker's in the form load.

Form1.cs:-
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using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Text;
using System.Windows.Forms;

namespace DateTimePickerFocusIssue
{
   public partial class Form1 : Form
   {
       public Form1()
       {
           InitializeComponent();
       }
   }
}

Form1.Designer.cs:-
---------------------------------------------------------------------------------------------------------------------------------------------------
namespace DateTimePickerFocusIssue
{
   partial class Form1
   {
       /// <summary>
       /// Required designer variable.
       /// </summary>
       private System.ComponentModel.IContainer components = null;

       /// <summary>
       /// Clean up any resources being used.
       /// </summary>
       /// <param name="disposing">true if managed resources should
be disposed; otherwise, false.</param>
       protected override void Dispose(bool disposing)
       {
           if (disposing && (components != null))
           {
               components.Dispose();
           }
           base.Dispose(disposing);
       }

       #region Windows Form Designer generated code

       /// <summary>
       /// Required method for Designer support - do not modify
       /// the contents of this method with the code editor.
       /// </summary>
       private void InitializeComponent()
       {
           this.label1 = new System.Windows.Forms.Label();
           this.textBox1 = new System.Windows.Forms.TextBox();
           this.label2 = new System.Windows.Forms.Label();
           this.dateTimePicker1 = new
System.Windows.Forms.DateTimePicker();
           this.label3 = new System.Windows.Forms.Label();
           this.dateTimePicker2 = new
System.Windows.Forms.DateTimePicker();
           this.SuspendLayout();
           //
           // label1
           //
           this.label1.AutoSize = true;
           this.label1.Location = new System.Drawing.Point(13, 13);
           this.label1.Name = "label1";
           this.label1.Size = new System.Drawing.Size(35, 13);
           this.label1.TabIndex = 0;
           this.label1.Text = "label1";
           //
           // textBox1
           //
           this.textBox1.Location = new System.Drawing.Point(55, 13);
           this.textBox1.Name = "textBox1";
           this.textBox1.Size = new System.Drawing.Size(100, 20);
           this.textBox1.TabIndex = 1;
           //
           // label2
           //
           this.label2.AutoSize = true;
           this.label2.Location = new System.Drawing.Point(13, 41);
           this.label2.Name = "label2";
           this.label2.Size = new System.Drawing.Size(35, 13);
           this.label2.TabIndex = 2;
           this.label2.Text = "label2";
           //
           // dateTimePicker1
           //
           this.dateTimePicker1.Checked = false;
           this.dateTimePicker1.Format =
System.Windows.Forms.DateTimePickerFormat.Short;
           this.dateTimePicker1.Location = new
System.Drawing.Point(55, 41);
           this.dateTimePicker1.Name = "dateTimePicker1";
           this.dateTimePicker1.ShowCheckBox = true;
           this.dateTimePicker1.Size = new System.Drawing.Size(134,
20);
           this.dateTimePicker1.TabIndex = 3;
           //
           // label3
           //
           this.label3.AutoSize = true;
           this.label3.Location = new System.Drawing.Point(13, 76);
           this.label3.Name = "label3";
           this.label3.Size = new System.Drawing.Size(35, 13);
           this.label3.TabIndex = 4;
           this.label3.Text = "label3";
           //
           // dateTimePicker2
           //
           this.dateTimePicker2.Checked = false;
           this.dateTimePicker2.Format =
System.Windows.Forms.DateTimePickerFormat.Short;
           this.dateTimePicker2.Location = new
System.Drawing.Point(55, 72);
           this.dateTimePicker2.Name = "dateTimePicker2";
           this.dateTimePicker2.ShowCheckBox = true;
           this.dateTimePicker2.Size = new System.Drawing.Size(134,
20);
           this.dateTimePicker2.TabIndex = 5;
           //
           // Form1
           //
           this.AutoScaleDimensions = new System.Drawing.SizeF(6F,
13F);
           this.AutoScaleMode =
System.Windows.Forms.AutoScaleMode.Font;
           this.ClientSize = new System.Drawing.Size(458, 390);
           this.Controls.Add(this.dateTimePicker2);
           this.Controls.Add(this.label3);
           this.Controls.Add(this.dateTimePicker1);
           this.Controls.Add(this.label2);
           this.Controls.Add(this.textBox1);
           this.Controls.Add(this.label1);
           this.Name = "Form1";
           this.Text = "Form1";
           this.ResumeLayout(false);
           this.PerformLayout();

       }

       #endregion

       private System.Windows.Forms.Label label1;
       private System.Windows.Forms.TextBox textBox1;
       private System.Windows.Forms.Label label2;
       private System.Windows.Forms.DateTimePicker dateTimePicker1;
       private System.Windows.Forms.Label label3;
       private System.Windows.Forms.DateTimePicker dateTimePicker2;
   }
}