LVN_ITEMCHANGING cannot be used to prevent actual change of focus.

This message is merely posted so you can prevent the status change from being applied to the item. (i.e. the small focus rectangle around an item.

If what you seek to do is actual focus change prevention, then you have a much much more complex task ahead of you and even one that will violate many core principles in Windows. Your users may not end up being very happy depending on how strict you apply such rules.