Have you published your page yet?
>Only Microsoft Internet Explorer 4.0 and later support a custom tab order. Other Web browsers and previous versions of Internet Explorer use the default tab order.
>>To test the functionality of your form, you must first publish your web site to a web server running either the FrontPage Server Extensions or SharePoint Team Services from Microsoft. Ask your web server administrator or Internet Service Provider whether this software is installed on your web server. Once the web site is published, click Preview in Browser to test the form.
(This is what FrontPage Help says.)