When I run this, the cursor still goes to the next object one the form. Looking at the Event Tracking in the Debug Output, I show that the text box looses focus, the messagebox displays, the text box gets focus (presumably from my This.setfocus, and then immediately moves to the next object. So, why is this happening?

You are missing the NODEFAULT. The deault behavior of LostFocus() is to move to the next object in the tab order.