>I have this in MyForm.LOAD, but it gives an error regarding that it cannot be used outside a form.
>
>

>ON KEY LABEL ESC THISFORM.CloseFormESC()
>

Sure, just because thisform didn't exists when that form has no focus.
Just Set Form KeyPreview=.t. and in KeyPress event of that form put:

LPARAMETERS nKeyCode, nShift
DO CASE
   CASE nKeyCode = K_27
        thisform.CloseFormESC()
ENDCASE