For the first, you can use the control_Exit event; for the

Both: there are always plenty of ways to edit data in tables without
going near your forms. The table-level constraint will protect the data
at the engine level against all comers; the form-level validation will do
as much as possible to protect the user from seeing the ugly engine-level
error messages.

NO - never!

No - that line is wrong. Use the events that Access gives you and use the
Cancel parameter to do it right. If you try to setfocus in an event that
causes the focus to move anyway, it'll do your setfocus then carry on to
wherever it was going to go to anyway. Read the help files. Anyway, it
would be Me.ActiveControl.SetFocus but that is quite obviously a
tautology (it means "make the active control active"...)

No: create one function and call it from each of the events:

 private function CheckEmpty(AControl as Control) as Integer
   ' remember this
   Const emptyError As String = _
      "Silly boy, you forgot to put something in"
   Const debugMessage as String = _
      "CheckEmpty called on "
 
   
   ' a bit of defensive programming
   ' can't remember the syntax of TypeOf without looking it up
   ' so check this next line very carefully
   if not typeof(AControl) Is Textbox Then
     ' just carry on...
     Debug.Print debugMessage & AControl.Name
     CheckEmpty = False

   elseif len(AControl.Value)>0 Then
     ' not empty, okay
     CheckEmpty = False

   else
     ' it's empty
     MsgBox emtpyError
     CheckEmpty = True

   End if      

All you have to do is to stick the following in each of the events you
want to monitor
 
  private sub MyTextBox_Exit(Cancel as Integer)
    Cancel = CheckEmpty(MyTextBox)
  end sub

but obviously you'll need to put in the correct control name each time.
For the Exit event, the control is still active, so you could do a

 Cancel = CheckEmpty(Me.ActiveControl)

which could at least be done with a copy-paste or a smart text editor.

In the Form_BeforeUpdate event, you can check the whole lot with
something like

  for each ctl in me.controls
   if typeof(ctl) is textbox then
    if me.recordset.fields(ctl.controlsource).Required then
     if checkempty(ctl)=true then
       ' it's empty; jump to it
       Cancel = True
       ctl.setfocus
       exit for
     end if
    end if
   end if
  next ' ctl

This is very much not tested, but it should give you an idea of where to
go. Hope it helps

Tim F