The order of firing events can be a bit confusing sometimes.

What's happening is that the afterupdate event is firing because you've
given the focus  to another control.. Say a command button. Now that control
has the focus. Your code is then setting the focus to the text box  correctly
but in order for the afterupdate event to happen you hvave to have left the
text box... Excel says... Angon.. I'm somewhere else or else I couldn't do
the afterupdate.. I'll go back there.... And puts you back in the control
that had the focus in order for the afterupdate event to fire.

Try putting the Me.txtCourseDate.SetFocus in the Enter event of the control
that now has the focus.

I have tried putting the setfocus statement in the following control.
That does indeed reset the focus  back to the previous control, but
because the Afterupdate event has already been triggered I receive the
msgbox dialog again and then the focus moves back to the following
control.

However, your suggestion prompted me to look at the BeforeUpdate event,
and with the following amended code this works purfickly....

Private Sub txtCourseDate_BeforeUpdate(ByVal Cancel As
MSForms.ReturnBoolean)
If IsDate(txtCourseDate.Value) Then
txtCourseDate = Format(txtCourseDate, "dd/mm/yyyy")
Else
MsgBox ("Invalid date  format, please use 'dd/mm/yyyy'")
txtCourseDate.Value = ""
Cancel = True
End If
End Sub