I was in the middle of my response to you while looking at my code. I realized that the GotFocus was setting the KeyPreview of the parent form to .F. and the LostFocus was setting it back. This makes a lot of sense.
The problem was that in the interactivechange of the Lookup combobox, I was refreshing the parent form's grid. Hence, LostFocus of the Lookup toolbar object, setting the KeyPreview back to .T. and the form's KeyPreview was stealing my keystrokes. :-) On top of that, it was taking plenty of time to perform the refresh each time.
Final solution:
1. I removed the crap from the InteractiveChange so that I didn't refresh all the time.
2. I removed all previous attempts at correcting the problem: Code, Properties...
2. I added a timer, which performs the Parentform's refresh when I want it to. CHRSAW() and a lTimer flag help to determine if I need to refresh or not. The Timer.Interval is set to _INCSEEK * 1000.
Thank you to everyone who put up with my bickering, you are all patient people.