Перехватить сообщение WM_KillFocus.
псевдокод
без Delphi на этом терминале, заполнит пробелы, когда вернется домой.
type
TForm1 = class(TForm)
...
protected
procedure WMKillFocus(message: TWM_Killfocus); message WM_KillFocus;
...
procedure TForm1.WMKillFocus(message: TWM_Killfocus);
begin
//do stuff to prevent the focus from shifting.
//do *NOT* call SetFocus, it confuses Windows/Delphi and leads to suffering
//Call PostMessage or handle the KillFocus message
//From MSDN
//While processing this message, do not make any function calls that display
//or activate a window. This causes the thread to yield control and can
//cause the application to stop responding to messages. For more information
//see Message Deadlocks.
//Also don't use SendMessage, PostMessage is OK though.
//Suggestion:
PostMessage(Self.handle, WM_SETFOCUS, 0, 0);
end;