If you want to do it with the BackColor then you need to change the colour for every TextBox when it receives focus and when it loses focus.
VB Code:
  1. Private Sub TextBox_Enter(ByVal sender As Object, ByVal e As System.EventArgs) Handles TextBox1.Enter, TextBox2.Enter
  2.         DirectCast(sender, TextBox).BackColor = Color.Blue
  3.     End Sub
  4.  
  5.     Private Sub TextBox_Leave(ByVal sender As Object, ByVal e As System.EventArgs) Handles TextBox1.Leave, TextBox2.Leave
  6.         DirectCast(sender, TextBox).BackColor = SystemColors.Window
  7.     End Sub