Firstly, you should not be handling the LostFocus event of a TextBox to begin with. As the documentation states, you handle the Leave event if you want to do something every time focus leaves a particular control. If you don't want to do something EVERY time focus leaves a control then you don't handle Leave either.
You can handle the Validating event to perform validation and prevent a control losing focus if it fails. You can handle the Validated event to execute every time a control passes validation. If you then set the CausesValidation property of a Button to False and click it, the control that previously had focus will raise its Leave event but not its Validating or Validated event. That's how you implement a Cancel button on a dialogue and let the user exit even if the data is not valid.
What you're asking for sounds a bit odd. Why exactly do you want the user to click Cancel but still keep the same form open and the same control focused? Is your cancellation just supposed to clear the form data or something? If that's the case then you will have to either set focus back to the previous control or else stop the Button taking focus when you click it. Both are possible but let's not waste time with non-necessities. Please provide a FULL and CLEAR description of what you're trying to achieve, which includes what and why rather than just how, and then we can provide the most appropriate advice.
