Sorry about not being clear. You put what you want as the error message onto the page in the position you want it to show up. You can do this in design view so that its easier to visualize if you're not strong in coding.
After adding this to the page, you will have to highlight the message and apply the validation show if server behavior. Specify which validation will cause the error to show up and apply it. This will cause the error to only show up if that particular validation fails.