TMyPanel = class(TCustomPanel)
published
property OnEnter;
end;

function TCustomForm.SetFocusedControl(Control: TWinControl): Boolean;
var
 FocusHandle: HWnd;
 TempControl: TWinControl;
begin
.....
 if not (csFocusing in Control.ControlState) then
 begin
   Control.ControlState := Control.ControlState + [csFocusing];
   try
.....
     if FFocusedControl <> Control then
     begin
       while (FFocusedControl <> nil) and not
         FFocusedControl.ContainsControl(Control) do
       begin
         FocusHandle := FFocusedControl.Handle;
         FFocusedControl := FFocusedControl.Parent;
         if not SendFocusMessage(FocusHandle, CM_EXIT) then Exit;
       end;
       while FFocusedControl <> Control do
       begin
         TempControl := Control;
         while TempControl.Parent <> FFocusedControl do
           TempControl := TempControl.Parent;
         FFocusedControl := TempControl;
         if not SendFocusMessage(TempControl.Handle, CM_ENTER) then Exit;
       end;

procedure TForm1.Panel1Enter(Sender: TObject);
begin
 caption := caption + '1';
end;

procedure TForm1.Panel2Enter(Sender: TObject);
begin
caption := caption + '2';
end;