If you're using a User Form, it's relatively easy to validate blanks with IF statements. I.E.
Private Sub TextBox1_Exit
If TextBox1.Value = "" Then
MsgBox "You must enter a Value"
If you're talking about validating a worksheet it's a bit of a different thing. Ignore blanks will only work if a cell has been activated, so 2 options would be to create a VBA routine in either a Private Sub Worksheet_Deactivate event, which goes in the specific sheet module, or a Private Sub Workbook_BeforeClose(Cancel As Boolean) event, which goes in the ThisWorkbook module, to evaluate specific cells for entries. I.E.
If Sheets("Sheet1").Range("A1").Value = "" Then
MsgBox "You must enter a value"