Private Sub Form_Load(ByVal sender As System.Object, ByVal e As _
  System.EventArgs) Handles MyBase.Load
  Me.KeyPreview = True '// Wichtig!
End Sub
'...
Private Sub Form_KeyPress(ByVal sender As Object, ByVal e As _
  System.Windows.Forms.KeyPressEventArgs) Handles MyBase.KeyPress
        If (Asc(e.KeyChar) = Keys.Escape) Then
            Me.MenuItem1.PerformClick()
        End If
End Sub