Option Explicit
 
Private Sub Form_KeyDown(KeyCode As Integer, Shift As Integer)
 
  Dim dummy As String
 
  ' Links
  If KeyCode = 37 Then
    dummy = "37"
    KeyCode = 0
  End If
 
  ' Hoch
  If KeyCode = 38 Then
    dummy = "38"
    KeyCode = 0
  End If
 
  ' Rechts
  If KeyCode = 39 Then
    dummy = "39"
    KeyCode = 0
  End If
 
  ' Runter
  If KeyCode = 40 Then
    dummy = "40"
    KeyCode = 0
  End If
 
  Label1.Caption = dummy
 
End Sub

...enden die Fragen nie?