JohnneyRingo:
I think this is because your Form doesn't have the Focus, one of your controls ON the form does. How to avoid this? I'm not certain, other than (yikes) creating a function, and setting a call to that function for EACH control's KeyDown (or KeyPress, whatevah) event.
Other than this, I believe there is a Windows API call that you can make to disable, or catch the Esc press. I'm not certain, I haven't tried that before.