I'm afraid that you've answered your own
question here ... Excel doesn't seem to
support the SetFocus method.

I too use SetFocus in VB6, but never
have tried it in Excel. However, I just
did a Help search in both:

-- in VB6, I found an entry for SetFocus
-- in Excel, NOTHING was found.

Read it and weep :(

I use SetFocus such that an anticipated
keyboard entry will be directed to the
correct control.

What is it that you are trying to achieve?
Maybe a workaround can be devised.