Even though you may have set focus to your first enterable textbox in a Silverlight Control, it will not truly receive the focus until the actual Silverlight control has focus first.
In order to do this, add a few lines of javascript in the the section of the main *.aspx document (Web Client) and you are good to go. The default name of the initial Silverlight XAML document will be ‘Xaml1’.
The code:
<script type="text/javascript"> window.onload = function() { document.getElementById('Xaml1').focus(); } </script>;