Try this....it will test your column.....it is slow as it will test all cells for a value

Sub Macro1()
Dim rngRange As Range
Dim bEmpty As Boolean
Dim iCounter As Integer



Set rngRange = Selection
bEmpty = True

For iCounter = Asc("A") To Asc("Z")
Sheets("Sheet1").Columns(Chr(iCounter) & ":" & Chr(iCounter)).Select
While bEmpty
For Each rngRange In Selection
Application.StatusBar = rngRange.Address
DoEvents
If rngRange <> "" Then
bEmpty = False
MsgBox " FOUND VALUE"
Exit For
Else
'Do nothing
End If
Next
Wend

If bEmpty Then
Exit For
Else
bEmpty = True
End If
Next

MsgBox "column" & Selection.Column & " is empty"
End Sub

Another possibility:

Selection.SpecialCells(xlCellTypeLastCell).Select

This selects the last used cell....meaning the next row (to be retrieved with the selection object) will be empty