I just couldn't resist... Yet I know that if you are stuck with creating apps in .NET, you have to learn the lay of the land, warts and all -- <g> & :0] it. There's no question that this specific topic (subclassing winform controls) is one of the trickier ones when moving from fox to .NET. I went a year, back in 2003, pulling my hair out, trying to figure out how to avoid having the Winform designer generate code. Then I got the answer, and I've written about it, Markus Egger has written about it on his vfpconversion site as well, and I'm sure others have written about it as well.
Bottom line, once you get your subclassed controls working correctly, it does work, but yes, it is very different.
Kevin