My scenario is:
Not allowing spaces at starting position of textbox after enter one or more characters text box allows spaces
Below not applicable to my sce
I believe that lazyDBA's answer is correct for your requirements, so with the message box something like:
if (textBox1.Text.Length == 0) { if (e.Handler = (e.KeyChar == (char)Keys.Space)) { MessageBox.Show("space not allowed!"); } }`