Are you shifting from large chainring to middle chainring while in the largest rear cog? If so, the angle of the chain causes everything to sort-of catapult through the stop.

I've never had the issue that you're describing with a triple crankset, but I do know that a compact double can drop the chain if shifting occurs as I described above. So if you're doing that, stop it! Shift before you run out of rear cogs.

If you are skipping chainrings regardless of rear cog position, then you've set something up wrong. A front derailleur only has 4 adjustments: mounting height, high stop, low stop, cable tension. You could always borrow a derailleur from a buddy and try to set it up on your bike. If his works and yours doesn't, then your derailleur is messed up as you mentioned. If you can't set his up, then your methodology is flawed and you should ask somebody to check your work. You could also take it in to your LBS and pay them a couple of bucks to set it up for you.