Underline the character in the caption by putting an ampersand before the character you want underlined (i.e. My &Caption) will underline the "C" the caption "My Caption".
In the KeyDown event of the form place the following code:
Private Sub Form_KeyUp(KeyCode As Integer, Shift As Integer)
If Shift + KeyCode = 71 Then
End Sub
txtItem.SetFocus
Where "txtItem" is the control you want to receive the focus. The If statement must evaluate to the Shift (in the case of "Alt" being pressed this equals 4) + the KeyCode (which is the ANSI value for the key pressed in conjunction with "Alt" - in the example above this would be 67 - the ANSI KeyCode for "C"). You must identify the ANSI value for the underlined character in your caption and set the If statement equal to 4 + this value.
The last thing you must do is set the KeyPreview property of the form to "Yes".