Michel,
At best VFP is going to put focus on the pageframe at startup because of now having keyboard navigation of the pages.
What version of VFP are you using? When I tested this in 8 the other night the pageframe and two command buttons were the only things in the tab order list. I just changed to interactive mode and see the same thing. The controls on the page are not involved in the tab order setting.
You'll need to put code in the Form.Init() to move focus onto the control in the page:
thisform.pageframe1.page1.text1.SetFocus()
and you really should iterate the controls to find the one control on the page with TabIndex = 1 and SetFocus() to it.
>I tried it. I put the PageFrame TabIndex to be 4 where the two textfield on it are having 1 and 2 and the Command buttons 3. This doesn't change anything. The focus, at startup, is still on the Command buttons.