If you have an "Exit" button, do you also have a Save button? Are your navigation buttons turned on, so that the user can move to another record by clicking one of them?
I generally disable the built in navigation buttons and create my own. I also prohibit the user from leaving the current record unless they click either a Save or Cancel button. With that functionality, I can run my validation code in the Click event of the Save button. I step through each of the controls and make sure that they have valid entries. If not, I display an appropriate error message and set the focus back to the control which failed the validity test. Once all fields are valid, I actually save the record.