Replacing Locked Cell Message Box

[verar72787]

I would like to create a message box that replaces, comes after, or comes before (I just need it to pop up) when a locked cell is double-clicked in a protected sheet. I've read forums before and tried what they said to do but it's not working. This is my first time creating a private sub macro so if you could please explain to me step by step how to create and then make it active. I would like the message box to say "Only Enter Data in the Red Shaded Cells." Thank you.