You cannot write the methods at runtime, but you always can extend them different ways.
You can do this with EXECSCRIPT(), or build and compile a prg on the fly.

In this particular case I think you can just get away with writing something like this in every Page.Click() at design time:

* whatever in the click code
DODEFAULT
LOCAL loControl
loControl = EVAL(thisform.page1top)
* You can wrap the previous line in TRY... CATCH just to make sure that  
* thisform.page1top refers to a valid control
loControl.SetFocus()

>Ok, thanks so much. I now have a form property for each page that has the first control of the page in it. However, when I try to modify the click event of the form in runtime (see below) I return an error. How to modify the click of a page during runtime?
>
>

>IF TYPE('thisform.pageframe1')<>"U"
>  ipage = 0
>  mvalue=''
>  FOR EACH loPage IN THISFORM.PAGEFRAME1.PAGES
>    ipage = ipage + 1
>    lnorder = loPage.CONTROLCOUNT
>    FOR EACH oControl IN loPage.CONTROLS
>      IF TYPE('oControl.tabstop')="L" .AND. oControl.TABSTOP = .T.
>	 IF oControl.TABINDEX < lnorder
>	    lnorder = oControl.TABINDEX
>	    *** [Nick's change]
>	    lcFullControlName = SYS(1272, oControl)
>	    lccommand = 'THISFORM.Page' + TRANSFORM(ipage) + 'top = thisform.GetHierarchy(lcFullControlName)'
>	    *** [/Nick's change]
>	    &lccommand
>	    *Example thisform.page1top='TEXT1' && first control on page1
>	ENDIF
>      ENDIF
>    ENDFOR && oControl
>    lccommand = 'mvalue=thisform.page'+ALLTRIM(STR(ipage))+'top'
>    &lccommand
>    *--HERE is my problem, when I try to modify the click method of the page
>    *--it returns the error shown below
>    IF TYPE('mvalue')="C" .and. !EMPTY(mvalue)
>	*Next Line returns error: CLICK is a method, event or object
>	loPage.click = lopage.click+CHR(13)+"DODEFAULT"+CHR(13)+mvalue+".setfocus()"
>    ENDIF
>  ENDFOR  && Page
>ENDIF
>