I don't care what the on-line help says. I can get KeyPress to see combinations with Alt keys. Do you have the form's KeyPreview property set to .T.? It's .F. by default, but needs to be .T. if you want the form's Keypress to be fired before the control's.
Yes, there are duplicate nKeyCodes for various keys. You have to make sure you look at nShiftAltCtrl in combination with nKeyCode to really know what keys were pressed.
Now, one caveat. There are some key combinations that don't work on all machines, but it seems to be more a function of the BIOS intercepting them then anythings else. What those keys are differs from BIOS to BIOS, so you can't be sure.