First of all, you should try and do this in Excel, before moving on to
VBA.

In Excel, how can you determine whether a cell  is empty? There is a
formula called ISBLANK that you can use. It returns True or False. Now
you can set up your own similar grid, and then find the formula that
gives a True answer.

If you want to be a bit smarter, you can loop through your game  grid
with a single formula, and this will result in your required VBA code.
Have a go, and let us see your version for further comment if required.

By the way, visit www.harisworld.com for an all-in-one sudoku Excel
program.

THANK FOR YOUR INFORMATION, BUT I TRIED THAT ALREADY, WHAT I WANT IS TO SELECT
ALL EMPTY CELL IN THE SUDOKU AT ONCE USING EITHER A MACRO OR VBA, BUT I CANNOT
GET THE CORRECT SYNTAX, PLEASE HELP

How about

Range("A1:I9").SpecialCells(xlCellTypeBlanks).Select


This will select  the blank cells in a given range, no matter where/what they
are.