A family of Microsoft relational database management systems designed for ease of use.
You have to write code using the code builder, not just enter a MsgBox function in the event box.
The messages displayed for Required fields that are not entered occur when you try to save the record on the form. So you would have to use a Form event not a Control event.
But a better option would be to use the Controls Before Update or On Exit events.
Then you would use code like:
If Me.controlname = Null then
MsgBox "You must enter a value"
Cancel = True
Me.Controlname.SetFocus
End If