Private Sub dgDetail_LostFocus(ByVal sender As Object, ByVal e As System.EventArgs) Handles dgDetail.LostFocus
        If Not dgDetail.Focus Then
          'do stuff
        end if
end sub

Private Sub dgDetail_LostFocus(ByVal sender As Object, ByVal e As System.EventArgs) Handles dgDetail.LostFocus
        If Not dgDetail.ContainsFocus Then
            If Not SaveRow(dgDetail, dgDetail.Selected, CheckSameRow:=False) Then
                dgDetail.Focus()
                SelectRowInGrid(dgDetail, m_SelectedCtrl)
            End If
        End If
End Sub

'field indicating that dgDetail in process of receiving focus
Private Boolean inFocusing = false
' LostFocus handler
Private Sub dgDetail_LostFocus(ByVal sender As Object, ByVal e As System.EventArgs) Handles dgDetail.LostFocus
  If (Not dgDetail.ContainsFocus) And (Not inFocusing) Then
    If Not SaveRow(dgDetail, dgDetail.Selected, CheckSameRow:=False) Then
      inFocusing = True 'enter into receiving focus
      Try
        dgDetail.Focus()
        SelectRowInGrid(dgDetail, m_SelectedCtrl)
      Finally
        inFocusing = False ' exit from receiving focus
      End Finally
    End If    
  End If
End Sub