You could use the Tag in this fashion:

Private Sub TextBox1_Exit(ByVal Cancel As MSForms.ReturnBoolean)
    'Do your stuff
    '....
    'Stay here = yes
    Tag = 1
    'Stay in here = no
    Tag = 0
End Sub


'Then whichever control gets focus next use...

Private Sub TextBox2_Enter()
    If Tag = 1 Then TextBox1.SetFocus
End Sub

'or...


Private Sub CommandButton1_Enter()
    If Tag = 1 Then TextBox1.SetFocus
End Sub