How to override TTabControl OnKeyDown?

I have a TTabControl on a form, and I would like that if the tabs (tab header) is focused, and when the user presses Ctrl+RightArrow, it will focus on the right-most tab. Sadly, TTabControl doesn't have an OnKeyDown event, unlike TEdit. How can I implement a custom OnKeyDown event?

You can subclass the TabControl's WindowProc property to do whatever you want with its received messages directly, eg:

type
  TMyForm = class(TForm)
    TabControl1: TTabControl;
    ...
    procedure FormCreate(Sender: TObject);
    ...
  private
    OldTabWndProc: TWndMethod;
    procedure MyTabWndProc(var Message: TMessage);
    ...
end;

procedure TMyForm.FormCreate(Sender: TObject);
begin
  OldTabWndProc := TabControl1.WindowProc;
  TabControl1.WindowProc := MyTabWndProc;
end;

procedure TMyForm.MyTabWndProc(var Message: TMessage);
begin
  if Message.Msg = WM_KEYDOWN then
  begin
    ...
  end;
  OldTabWndProc(Message);
end;