This example adds data validation to cell E5 and specifies both the input and error messages.
With Range("e5").Validation
.Add Type:=xlValidateWholeNumber, _
AlertStyle:= xlValidAlertStop, _
Operator:=xlBetween, Formula1:="5", Formula2:="10"
.InputTitle = "Integers"
.ErrorTitle = "Integers"
.InputMessage = "Enter an integer from five to ten"
.ErrorMessage = "You must enter a number from five to ten"
End With