>Anybody knows how to do the following in the pageframe:
>I have two pages in a pageframe, some how I need to have the system set focus
>on a control inside the page every time the page is set to focus.
>I try to find the Gotfocus event in the pageframe or in each page, but there aren't any.
>Did Microsoft intentionally left this event out just to make us miserable?

Have you tried the following steps:
*. place the SetFocus command in the LostFocus method of the last control of the current page of the pageframe.
e.g: say the last control of thisform.pageframe1.page1 is txtHomePhone and you want to set focus to the a control on the
next page (page2) and that control name is thisform.pageframe1.page2.txtHistory :
put this in txtHomePhone's lostfocus:
thisform.pageframe1.activepage = 2 && to activate page2 of the pageframe
thisform.pageframe1.page2.txtHistory.setfocus && set the focus to your desired control

Hope this can be little help for you,
I'm not an expert in VFP but I'll try to help anyone who faces problems similar to those I had before.