Handling the KeyDown or KeyPress events is one way to do this, but programmers usually forget that a user can still copy-and-paste invalid text into the textbox.
A somewhat better way is to handle the TextChanged event, and strip out any offending characters there. This is a bit more complicated, as you have to keep track of the caret position and re-set it to the appropriate spot after changing the box's Text property.
Depending on your application's needs, I would just let the user type in whatever they want, and then flag the textbox (turn the text red or something) when the user tries to submit.
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