The easy way:
use a (class-) global status variable of type boolean.
Set this variable to true when you do not want the other event fired.
In Textbox1_Leave check this variable. If true, just return.
This would look like this
private bool _noEvent = false;
protected Texbox2_KeyPress(object sender)
{
_noEvent = true;
}
protected void Textbox1_Leave(object sender)
{
if(_noEvent)
return;
}