You cannot directly focus a control on form load (by the way, this is a fake event, you don't have to use it; it is added only to provide the same mechanism of adding handlers as for "real" events", using it is equivalent to adding code at the end of a form constructor). This is because only a visible control can be focused.
You can focus it when a form is shown for the first time. If written in the load event handler or a constructor, it would look like
this.FormShown += (sender, eventArgs) => { myControl.Focus(); }
Alternatively, you can set "logical focus", which can be done in advance, in contrast to "real" focus:
this.ActiveControl = myControl;
—SA