方法有二： 

1. 设置对话框控件的tab order。 按Ctrl+D即可看见。将需要被设置到焦点的空间的tab order设为1.

2. 对话框的OnInitDialog返回FALSE。解释如下：(摘抄至msdn)

  If OnInitDialog returns nonzero, Windows sets the input focus to the first control in the dialog box. 

The application can return 0 only if it has explicitly set the input focus to one of the controls in the dialog box.