If you want to know if an arrow key is pressed for one control, you can use the KeyDown event of the specific control. If you want to know this for the complete form, set the KeyPreview Property of the form to True and use the form's KeyDown event. The KeyCode paramter tells you which key has been pressed.
Left arrow : KeyCode = 37
Up arrow : KeyCode = 38
Right arrow : KeyCode = 39
Down arrow : KeyCode = 40