I'm trying to use this code

Private Sub Worksheet_SelectionChange(ByVal Target As Range)
Dim MyCell As String
'Change callout here as desired
MyCell = "Z1"

If Range(MyCell).ValueThen
Exit Sub
Else
MsgBox "Please use a value of ""P"" or ""F"" in appropriate cells!", ,
"Invalid Entry"

End If
End Sub

Which works fine if Z1 is on the current sheet (Sheet 1). But I want to
reference a cell on a different sheet (Sheet 3) in the same workbook. How do
I do this?

MyCell = "Sheet3!Z1"
MyCell = "'Sheet3!'Z1"
doesn't work...