Same here. As soon as I hit ESC, the Cancel button gets the focus and the OnClick event is fired for that button.
What version of Windows, Excel and VBA are you using?
One possibility - did you type the name of the function yourself, or did you select it from the dropdown list of possible functions? You might have mistyped something in the name. I've done this a few times, and mistyped a character, and the function is never performed.
To verify this, in the Form code, select your button name from the Object dropdown (above the code pane, to the left) and the OnClick event from the Procedure dropdown (above the code pane, to the right). If you typed the function name correctly, the editor will position you in your function. If not, it will create a new one for you, so just move your code there.