Why doesn 't the event OnKeyDown work with a MDIFORM

I have a form with

formstyle = fsMdiForm

I want to see if the NumLock-key is pressed, if so then I want to
display this on the screen, but it doesn 't work. When i set the
formstyle to fsNormal it works fine.

How can I solve this problem ???

P.S. I don 't want to use a timer.