In the particular control, say TextBox1.

Create an _Exit event, which look like this:

Private Sub TextBox1_Exit (ByVal Cancel As MSForms.ReturnBoolean)
if len(trim(UserForm1.TextBox1.Value))=0 Then
msgbox "Invalid Input", vbCritical, "Error Message"
Cancel = True
end if
End Sub

As long as you set the value of the Cancel to TRUE, the user cannot get out
of the TextBox1 input process.

Hope this help you

BoyP