[VB.NET CODE STARTS]
' On form load set the panel as active child control of the form.
Me.ActiveControl = pnlNameDetails 'name of the panel control , "Me" referes to the container form
' Create an event handler for panel control.
Private Sub Panel_KeyDown(ByVal sender As Object, ByVal e As System.Windows.Forms.KeyEventArgs) Handles pnlNameDetails.KeyDown
If e.KeyCode = Windows.Forms.Keys.Escape Then
Msgbox "Escape Key Is Pressed"
End If
End Sub
[VB.NET CODE ENDS]
That's it and now the keydown event can be captured from panel control.