The behavior of the LostFocus event has changed in the transition from VB4 to VB5. Under VB4, if a control on a form has the input focus and the user clicks on a toolbar button, the control fires a LostFocus event. Under VB5 and VB6, the same action doesn't fire any LostFocus event, so you must aware of this detail if you're porting an application from VB4 to a later version.
The behavior under VB5 and later versions is more consistent, because the toolbar should be considered as a sort of menu, and clicking on a menu doesn't raise any LostFocus event, under any version of VB.
Under VB6, however, this action raises a Validate event, so you have the opportunity to execute a piece of code when the focus leaves the control.