Me.KeyPreview = True

Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As _
  System.EventArgs) Handles MyBase.Load
       Me.KeyPreview = True    
End Sub
 
    Private Sub Form1_KeyDown(ByVal sender As Object, ByVal e As _
      System.Windows.Forms.KeyEventArgs) Handles MyBase.KeyDown
        If e.KeyCode = Keys.Escape Then
            Me.Close()
        End If
    End Sub