'!!! В конструкторе ставим Button1.TabStop = False

  Private Sub Button1_Click(ByVal sender As System.Object,
                            ByVal e As System.EventArgs) Handles Button1.Click
    Me.Close()
  End Sub

  Private Sub Form1_KeyDown(ByVal sender As Object,
                            ByVal e As System.Windows.Forms.KeyEventArgs) Handles Me.KeyDown
    Select Case e.KeyCode
      Case Keys.Enter
        Button1_Click(Me, New System.EventArgs)
      Case Keys.Tab
        Button1.TabStop = True
        Button1.Focus()
    End Select
  End Sub
End Class