Why is my .setfocus ignored?

If you look at the order of events for a keypress that would change focus, you can see that it always follows this pattern:

KeyDown → BeforeUpdate → AfterUpdate → Exit → LostFocus

You can re-set the focus anywhere in there and it will still keep following the pattern. So we need to tell it to stop following the pattern. Replace your Me.MyFld.SetFocus with DoCmd.CancelEvent and it should fix your problem. Basically, this just kicks you out of the above pattern, so the Exit and LostFocus events never fire...

1. click on access options
2. select Advanced
3. select Don't move from Move after enter
4. click ok

It will work 100%

A workaround is moving the focus to another control and then back to the first control. Like this:

Private Sub MyFld_KeyDown(KeyCode As Integer, Shift As Integer)  
    If KeyCode = vbKeyReturn Then  
        DoStuff
        Me.anotherControl.SetFocus
        Me.MyFld.SetFocus  
    End If
End Sub