Further to RuralGuy's observation, I would re-structure your code.
Code:
If MsgBox("Do you want to Save?", vbYesNo + vbQuestion, "Save Record") = vbYes Then
'Validate Entries
If Len(txtCustomerID.Value & vbNullString) = 0 Then
strMessage = strMessage & vbCrLf & "Customer ID must have a value"
End If
If Len(txtCustomerAbbr.Value & vbNullString) = 0 Then
strMessage = strMessage & vbCrLf & "Customer Abbreviation must have a value"
End If
If Len(txtCustomer_Name.Value & vbNullString) = 0 Then
strMessage = strMessage & vbCrLf & "Customer Name must have a value"
End If
If Len(txtDwg_File_Loc.Value & vbNullString) = 0 Then
strMessage = strMessage & vbCrLf & "Customer File Location must have a value"
End If
If Len(strMessage & vbNullString) <> 0 Then
'Display message to user
MsgBox "Data Entry is incomplete:" & strMessage, vbCritical, "AppNameHere"
Cancel = True
End If
Else
Cancel = True
End If
Consider revising logic so users can correct their entry mistakes without loosing other changes that are valid. Also, asking them to save every time can get tiresome. Instead, have an Undo/cancel button so they can get out without saving. If they click [Close] or close the form, then validate and give message if some input is missing and Undo the update - allowing them to correct the mistakes or simply Undo/Cancel the editing themselves.