Otherwise i would have answered my own question a long time ago. Net 2.0 we use different Validation controls from Toolbox for validations (Just Drag & Drop, No need of writing code in C#).
The problem arises when trying to leave the current textbox with null/invalid input, it locks all controls in the form except for the one it tries to validate.
If it helps, here is the basic template I'm using for the validation. If you validate a control for not null it will never leave the control until you enter sopmething.