If it isn't too many, you can check each one for IsNull:
If IsNull(MyControl) Then
ElseIf IsNull(MyOtherControl) Then
If you have a WHOLE BUNCH of controls and you don't want to do anything specific, like a custom error message for each invalid control or setting focus, then you could put something in the "tag" property for each control to validate and iterate through them in a for loop:
For Each ctl In Me.Controls
If ctl.tag = validate Then
If IsNull(ctl) Then
MsgBox "None for you!"