Key pressing for a newbie

Hello, I'm working on a game and I realized that the KeyPress event of the PictureBox (I feel as KeyPress is a not-so-good-choice-to-use-keys) is slow and not good for what I'm doing.

What is the best choice to have detection of keys pressed quickly and continuatively without big gaps when changing key?

Example: imagine I must make a square moving in a picturebox. In my newbie way I would set the 8 movements to my favourite keys, and ok. The problem is that this way is slow and when I move it down, keeping the key pressed and then I press right releasing down, it takes much. I'd love to make it to change "instantly" direction.

Another thing:
what is - if it is related - the DirectInput?

Thanks a lot!