You can return .F. from the method indicating failure.

* CheckSomething method
...
if I=2
  messagebox('problem')
  return .F.
endif
...
* Commandbutton click
IF Thisform.CheckSomething()
  * Check is ok, continue processing
ENDIF

>I have a method that checking something.
>I call to the method from command button.
>If the check is good I want to continue, if not to return.
>For example:

if I=2
>messagebox('problem')
>return
>endif

>If I put the 'return' in the method it's not help,
>(the program finish only the method but the command button lines continue).