I see the same behavior. The textbox looses focus after 2nd key stroke.
You can create a form AlwaysOnBottom = .T. and put textbox on it. It may or not work for you depending on what are you trying to do.

_Screen.AddProperty("oBF", CREATEOBJECT("Form"))
_screen.oBf.Visible = .T.
_screen.oBf.AlwaysOnBottom = .T.
_Screen.oBF.Height = _Screen.Height
_Screen.oBF.Width = _Screen.Width
_Screen.oBF.TitleBar = 0
_Screen.oBF.BorderStyle = 0
_Screen.oBF.BackColor = _Screen.BackColor
_screen.oBf.AddObject([x] ,[textbox])
_screen.oBf.X.AutoComplete = 3
_screen.oBf.X.Visible = .T.

> My test-codes are below:
>
>_screen.AddObject([x] ,[textbox])
>_screen.x.AutoComplete = 3
>_screen.x.AutoCompSource = 'HyperLink'
>_screen.x.AutoCompTable = 'autoin.dbf'
>_screen.x.Visible = .T.
>
>
> When keypress a few characters ,the focus of the textbox lose .
>
>Could someone help?
>
>Thanks advance.
>
>Luyis