In the before_update event of the form you could use something like:
if Me.ControlName.Value & "" = "" Then
Cancel =True
Msgbox "Fill it in dummy",vbinformation
End if
Or, something like the following placed in the click event of your form's 'exit' button:
if Me.ControlName.Value & "" = "" Then
Msgbox "Fill it in dummy",vbinformation
Else
Docmd.Close
End if
You may need something similar in any record navigation buttons on the form too.