I'm not sure if they have an automatic way but this is what I usually do:
Dim mv_strKeysDown As String
Private Sub Form1_KeyDown(ByVal sender As Object, ByVal e As System.Windows.Forms.KeyEventArgs) Handles Me.KeyDown
Dim str As String
str = ChrW(e.KeyCode)
If Not mv_strKeysDown Like "*" & str & "*" Then
mv_strKeysDown &= str
End If
lbl.Text = mv_strKeysDown
End Sub
Private Sub Form1_KeyUp(ByVal sender As Object, ByVal e As System.Windows.Forms.KeyEventArgs) Handles Me.KeyUp
mv_strKeysDown = Replace(mv_strKeysDown, ChrW(e.KeyCode), "")
lbl.Text = mv_strKeysDown
End Sub
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
mv_strKeysDown = vbNullString
End Sub
*Edit: I just tried that with the arrow keys and it doesn't work but if you used something other than chrw it probably would work...