Dragan,
You would need to handle that in the LostFocus() of the current control. In some fashion you need to know what key was pressed to exit the control, this could be accomplished in the control's keypress event. Add a property to the control named ExitKeyCode and in the keypress;
IF nKeyCode = {BackTab} OR ...
THIS.ExitKeyCode = nKeyCode
ENDIF
Then in the Valid;
IF THIS.ExitKeyCode =
RETURN .T.
ENDIF
In the LostFocus you can also look at ExitKeyCode to find out what to do.
You still need to validate the data when they hit the save button because they could;
1) put in bad data
2) backtab to the previous control
3) click the save button
If this is true then why are we validating at all in the control?