I'd also advise against using Insert, however, if you must, then here's one possible solution:
[tt]
Option Explicit
Private Declare Function GetAsyncKeyState Lib "user32" (ByVal vKey As Long) As Integer
Private Sub Form_KeyDown(KeyCode As Integer, Shift As Integer)
If (KeyCode = 45 Or KeyCode = vbKeyU) And (GetAsyncKeyState(vbKeyU) And GetAsyncKeyState(vbKeyInsert)) = -32768 Then
MsgBox "Insert U pressed"
End If
End Sub
Private Sub Form_Load()
Me.KeyPreview = True
End Sub