No, don't. Firstly, you should very, very rarely use the LostFocus event at all, as the documentation says. You should use the Leave event in preference. That said, validation should be performed on the Validating event.Validate on lost focus event of each control.
Private Sub Address2Txt_Validating(ByVal sender As System.Object, _
ByVal e As System.ComponentModel.CancelEventArgs) _
Handles Address2Txt.Validating
If CType(sender, TextBox).Text = "" Then
ErrorProvider1.SetError(sender, _
"You must enter an invoice address line 2.")
Else
ErrorProvider1.SetError(sender, "")
End If
End Sub