Hi, Christian is absolutely right, and an event definition can be even simpler using Lambda form in .NET 4.0:
SomeControl.KeyDown += (sndr,eArgs)=>{MessageBox.Show(eArgs.KeyCode.ToString());};
In this example, you define the event while attaching it at the same time via Lambda.
Suggest you read Jon Skeet's "C# in Depth" (Manning Press) to get a great explanation of all the developments in the area of events, delegates in .NET C#.