Dim oCtr As Control
For Each oCtr In Me.Controls
  If TypeName(oCtr) = "CheckBox" And oCtr.Value = True Then
    'CODE HERE
  Else
    MsgBox "You must tick at least one."
    Exit Sub
  End If
Next

Private Sub CommandButton1_Click()
Dim oCtr As Control
Dim bChecked As Boolean
    For Each oCtr In Me.Controls
        If TypeName(oCtr) = "CheckBox" And oCtr.value = True Then
            bChecked = True
            Exit For
        End If
    Next
    If Not bChecked = True Then
        MsgBox "You must tick at least one.", vbCritical
        GoTo lbl_Exit
    End If
    'a checkbox is checked so do stuff
lbl_Exit:
    Exit Sub
End Sub