>>The focus is set to the control and this works. However, I do not have a WebResource.axd file in the root of the Web site. So, this creates a log in IIS for both calls to WebResource.axd but it doesn't generate a 404. So, I need to verify if I really need to have that file to exist in the Web site root directory. If not, is it normal .NET creates a link to a non existent file when it generates it's .NET syntax for the ASPX page, when I need to set focus on a control?

WebResource is a special ASP.NET handler that loads content from a resource file (assembly). When you set focus it's injecting the JS code via the resource file link (WebResource.axd). No, you don't need a real file for this. Yes, it's normal.