The form is shown only after the last line in the load event is executed.
During the load event, the form is invisible and so are the controls on it.
Focus can only be set on controls that are visible and enabled. So trying to
set focus to a control in the load event wont work. Instead, use the
Activated event of the form to set focus. However, since Activated is fired
everytime the form is activated, you'll have to make sure that you set focus
only the first time it is activated which is after the load event. Something
like this should work for you:

Private bFirstTimeActivated as boolean

Private Sub Form1_Activated(ByVal sender As Object, _
           ByVal e As System.EventArgs) Handles MyBase.Activated
       If Not bFirstTimeActivated Then
           MyControl.Focus()
           bFirstTimeActivated = True
       End If
End Sub

hope this helps..
Imran.