Tienes que controlarlo dentro de tus controles, si es en un textbox en el evento KeyPress puedes hacer:
If KeyAscii = vbKeyReturn Then
KeyAscii = 0
SendKeys "{Tab}"
End If
Otra forma es con keybd_event:
Public Const VK_TAB = &H9
Public Const VK_LSHIFT = &HA0
Public Const KEYEVENTF_EXTENDEDKEY = &H1
Public Const KEYEVENTF_KEYUP = &H2
Public Declare Sub keybd_event Lib "user32" (ByVal bVk As Byte, _
ByVal bScan As Byte, _
ByVal dwFlags As Long, _
ByVal dwExtraInfo As Long)
If KeyCode = vbKeyReturn Then
keybd_event VK_TAB, 0, 0, 0
keybd_event VK_TAB, 0, KEYEVENTF_KEYUP, 0
End If