The focus will return to the control when you attempt to submit the form. By default EnableClientScript is enabled, which performs client-side validation so no, there won't be a postback if validation fails and the browser is able to perform client-side validation.
From MSDN:
Use the EnableClientScript property
to specify whether client-side
validation is enabled.
Validation controls always perform
validation on the server. They also
have complete client-side
implementation that allows
DHTML-supported browsers (such as
Microsoft Internet Explorer 4.0 and
later) to perform validation on the
client. Client-side validation
enhances the validation process by
checking user input before it is sent
to the server. This allows errors to
be detected on the client before the
form is submitted, avoiding the round
trip of information necessary for
server-side validation.
By default, this value is set to true,
which enables client-side validation
if the browser supports it.
If you want immediate feedback from the validation control when the user tabs off of it, you can set its ErrorMessage property and set its Display property to either Dynamic or Static.