To go back to your original question - yes, you're doing it wrong.
>> If I have a lookup and use the lookup button to select a record Server Side code embedded in the entry field is not firing.
Correct. when you click on the lookup button, it goes to the lookup page.
When you return from the lookup page it regenerates the form page.
At no point does the entry field on the form actually "change". It goes from existing, to not existing, to existing.
If there is code you want to do after a lookup, then I recommend adding it to the AfterLookup routine.
Cheers
Bruce