Jim,

It seems to work fine to me, so I probably did not understand the problem, or maybe it is related to your RowSourceType? I tried this (with and without this.setfocus in gotfocus, both seem to work?):

loForm = Createobject('myForm')
loForm.Show(1)

DEFINE CLASS myForm AS form


	Top = 0
	Left = 0
	Height = 273
	Width = 480
	DoCreate = .T.
	BorderStyle = 2
	Caption = "Form"
	Name = "myForm"

	add object text1 as textbox

	ADD OBJECT combo1 AS combobox WITH ;
		RowSourceType = 1, ;
		RowSource = "One,Two,Three,Four", ;
		Height = 24, ;
		Left = 6, ;
		Style = 2, ;
		Top = 239, ;
		Width = 188, ;
		Name = "Combo1"



	PROCEDURE combo1.GotFocus
		THIS.SETFOCUS
		KEYBOARD '{F4}'
	ENDPROC


	PROCEDURE combo1.Init
		this.ListIndex	= 1
	ENDPROC


ENDDEFINE

[Update]By the way, I tested in VFP 8 and 9 SP1, also as style = combo