A darned good question!
In Word XP (afraid the only one I remember at the moment), you can add a property to the form field (right click field and call up properties) that allows you to have a macro associated with that field. You would then need to have the macro check if the field is not blank before you are allowed to move to the next page.
My Word macro'ing is a little rusty, but I'm sure that a vbasic guru can then design something appropriate. Let's hope that VoG spots this and picks up the challenge!