Hi, Mark...

I used the following approach:
In Valid() event of my control I put code:
IF !thisForm.verify()
RETURN 0
ENDIF

In thisForm.verify() I put another code:

"some verifications"
IF lSuccessVerified
RETURN .t.
ELSE
WAIT WINDOW 'Your_message' NOWAIT &&OR MESSAGEBOX('Your_message'))
RETURN .f.
ENDIF