Ah. In that case you may want to look at the Validating event. A control's Validating event fires when the user tries to move off of it. Here's an example:
http://www.vb-helper.com/howto_net_use_validation.html
In this case, each TextBox would have its own Validating event.
I like to change the background color of an invalid value to light yellow so the user knows there's a problem, but not use e.Cancel to prevent the user from leaving the field. That way they can fix it when it's convenient, and it avoids the issue of what to do it they want to cancel. The OK button can validate again to make sure all of the fields are filled in correctly before accepting the form.