[Click on debug, and run the compile] It's sort of not given me that option (although I have seen it in the past) I followed your instructions, On Error GoTo Err_Command125_Click this part is shaded & I get a compile error -- Label not found

This is telling you a label cannot be found.
On Error GoTo Err_Command125_Click this part is shaded & I get a compile error
This is an error handler - Is says: If there is an error, goto the label named "Err_Command125_Click:". But you do not have that label. (Notice the colon at the end.)
Your current code (as posted):
Code:
Private Sub Command125_Click()
On Error GoTo Err_Command125_Click
DoCmd.GoToRecord , , acNewRec
Forms![Customers QuickInfo].CustomerID.SetFocus
Exit_Command125_Click:
Exit Sub
End Sub (<<-I added this)
What it should look like:
Code:
Private Sub Command125_Click()
On Error GoTo Err_Command125_Click
DoCmd.GoToRecord , , acNewRec
Forms![Customers QuickInfo].CustomerID.SetFocus
Exit_Command125_Click:
Exit Sub
Err_Command125_Click:
MsgBox Err.Number & ": " & Err.Description
'optional - can also have
' Resume Exit_Command125_Click
End Sub (<<-I added this)