Well, i resolve a little problem abouut one minute ago but now i've another one on my macro :(
Private Sub Workbook_BeforeClose(Cancel As Boolean)
    Dim S1 As String, S2 As String
    Dim S3 As String, S4 As String
    Dim lRow As Long, i As Long
    Dim ws As Worksheet
    Set ws = ThisWorkbook.Sheets("Sheet1")
    S1 = "Football"
    S2 = "Basket"
    S3 = "Sport1"
    S4 = "Sport2"
    With ws
        lRow = .Range("A" & .Rows.Count).End(xlUp).Row
        For i = 1 To lRow
            If Len(Trim(.Range("E" & i).Value)) = 0 Then
                Select Case .Range("C" & i).Value
                    Case S1, S2
                        MsgBox "Insert value in the cell " & _
                        .Range("E" & i).Address
                        Cancel = True
                        Exit For
                End Select
            End If
            If (Len(Trim(.Range("F" & i).Value)) = 0) Or _
               (Len(Trim(.Range("G" & i).Value)) = 0) Or _
               (Len(Trim(.Range("H" & i).Value)) = 0) Then
                Select Case .Range("C" & i).Value
                    Case S3, S4
                        MsgBox "Insert value in the cell " & _
                        .Range("F" & i).Address, _
                        .Range("G" & i).Address, _
                        .Range("H" & i).Address
                        Cancel = True
                        Exit For
                End Select
            End If
        Next i
    End With
End Sub
The first if works but the second 
If (Len(Trim(.Range("F" & i).Value)) = 0) Or _
               (Len(Trim(.Range("G" & i).Value)) = 0) Or _
               (Len(Trim(.Range("H" & i).Value)) = 0) Then
                Select Case .Range("C" & i).Value
                    Case S3, S4
                        MsgBox "Insert value in the cell " & _
                        .Range("F" & i).Address, _
                        .Range("G" & i).Address, _
                        .Range("H" & i).Address
                        Cancel = True
                        Exit For
                End Select
 End If
Nope. Is there something wrong?
As you can see is the same condition but in different columns
 
     
    