In VB.NET you can have a single function handle several events - you don't have to double-click on every text box or anything like that :-)
I created a form with 6 textboxes on it (TextBox1, TextBox2 etc) then used these two functions to handle all of the Enter (GotFocus) and Leave (LostFocus) events
Private Sub TextBoxX_Enter(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles TextBox1.Enter, TextBox2.Enter, TextBox3.Enter, TextBox4.Enter, TextBox5.Enter, TextBox6.Enter
Dim tb As TextBox = sender
tb.BackColor = Color.Tomato
End Sub
Private Sub TextBoxX_Leave(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles TextBox1.Leave, TextBox2.Leave, TextBox3.Leave, TextBox4.Leave, TextBox5.Leave, TextBox6.Leave
Dim tb As TextBox = sender
tb.BackColor = Color.Violet
End Sub
If you need more then just add the text box events at the end of the list e.g.
Handles TextBox1.Enter, TextBox2.Enter, TextBox3.Enter, TextBox4.Enter, TextBox5.Enter, TextBox6.Enter ,TextBox7.Enter
If you hit any limits on the number of handlers you can add then just create another pair of handlers that call these ones e.g.
Private Sub T6_Leave(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles TextBox8.Leave
TextBoxX_Leave(sender, e)
End Sub
Private Sub T8_Enter(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles TextBox8.Enter
TextBoxX_Enter(sender, e)
End Sub