Here's a small example I made. Add the following code to a Form with 3 TextBoxes (Text1, Text2, Text3) and 1 PictureBox (Picture1).
Code:
Private Sub Text1_LostFocus()
    MsgBox "Text1 lost focus"
End Sub

Private Sub Text2_LostFocus()
    MsgBox "Text2 lost focus"
End Sub

Private Sub Text3_LostFocus()
    MsgBox "Text3 lost focus"
End Sub

Private Sub Picture1_LostFocus()
    MsgBox "Picture1 lost focus"
End Sub
A MessageBox will pop up when a control loses focus.