You probably forgot to set the form's KeyPreview property to True. Overriding the ProcessCmdKey() method is the generic solution:
protected override bool ProcessCmdKey(ref Message msg, Keys keyData) {
if (keyData == (Keys.Control | Keys.F)) {
MessageBox.Show("What the Ctrl+F?");
return true;
}
return base.ProcessCmdKey(ref msg, keyData);
}