Try This

Private Sub Worksheet_Change(ByVal Target As Range)
If Not Intersect(Target, Range("A:A")) _
Is Nothing Then Exit Sub
If IsEmpty(ActiveSheet.Cells(Target.Row, 1)) _
And Target.Value <> "" Then
MsgBox "You must complete column  A first", vbOKOnly, "Error!"
Target.Value = ""
ActiveSheet.Cells(Target.Row, 1).Activate
End If
End Sub