As suggested, the highlighting of the control indicates that that control has focus. By default, when a form is displayed it will be the first control in the Tab order that receives focus. If you want a different control to have focus initially then you must either change the Tab order of your controls or else explicitly set focus to that control AFTER the form has been displayed. If you don't want any control to have focus then you also do that explicitly, also after the form is displayed.
If you want to do something immediately after the form is displayed then you handle the form's Shown event. If you want to set focus to a specific control then you call that control's Select method. If you don't want any control to have focus then you set the form's ActiveControl property to Nothing.
To suggest that the control have focus but not be highlighted is a bit silly. The whole point of the highlight is as a visual cue to the user. If there's no highlight then how does the user know where the focus is? The Windows interface works in a particular way in pretty much every Windows application for a reason. Users come to expect certain behaviour and if they don't see that behaviour then the application becomes confusing. A confusing application is a bad application.