You could use an If statement in your code with a series of AND conditions to check for Null values in the checkboxes.
Depending on when you want the error message to display you can choose an Event to trigger the code to run:
Code:
If Len(checkboxname & vbNullString) = 0 And
Len(checkboxname2 & vbNullString) = 0 And
Len(checkboxname3 & vbNullString) = 0 then
msgbox "Please check one"
end if
This is definitely a rough example and there may be a better way. Such as checking for a boolean condition.
If ckCheckbox1 = False and ckCheckbox2 = False and ckCheckbox3 = False Then
Msgbox "You must select an option from one of the checkboxes!"
Cancel = True
End If