I would suggest a different approach. Instead of just closing the form without warning, which will probably confuse the user, do something like:
Private Sub txtFolioNumber_LostFocus(ByVal sender As Object, ByVal e As System.EventArgs) Handles txtFolioNumber.LostFocus
Dim frm As frmDocument
For Each frm In Me.MdiParent.MdiChildren
'no need to check myself (the current form)
If (Me.Handle.ToInt32 <> frm.Handle.ToInt32) Then
'if the number just entered is already used on another form, switch to that form
If (frm.txtFolioNumber.Text = txtFolioNumber.Text) Then
MessageBox.Show("This number already exists. Please enter a different number."
Exit For
End If
End If
Next frm
End Sub
Another approach would be to use just one form for entering the data and prompting the user if they enter a number that already exists:
If MessageBox.Show("Record already exists. Would you like to go to that record?", "Duplicate Record", MessageBoxButtons.YesNo, MessageBoxIcon.Question, MessageBoxDefaultButton.Button1))
Using one form is likely to be less confusing in the long run.