You need to add an event handler for that event. So in the properties menu, double-click on the field beside the KeyDown event and Visual Studio will create an event handler for you. It'll look something like this:
private void textBox1_KeyDown(object sender, KeyEventArgs e)
{
// enter your code here
}
You can also subscribe to events yourself without using the Properties window. For example, in the form's constructor:
textBox1.KeyDown += HandleTextBoxKeyDownEvent;
And then implement the event handler:
private void HandleTextBoxKeyDownEvent(object sender, KeyEventArgs e)
{
// enter your code here
}