Macro to show a message box if even one cell in a row is blank

Thanks, Palmetto. Once again your code works perfectly
I only wanted to make one change to it. The macro runs all the way to "Completed" even if there are blank cells present in the variable range.
Would it be possible to make it stop if there are blank cells present and only show the "Completed" message box if all blank cells are filled in.
I do not know how to make the if function work in the code.. here's what I tried:

Sub chk4blanks()

    Dim i As Long, j As Long, lastrow As Long
    Dim rng As Range
    
    lastrow = Cells(Rows.Count, "A").End(xlUp).Row
    
    For i = 2 To lastrow
        Set rng = Range(Cells(i, 1), Cells(i, 35))
        
        j = Application.WorksheetFunction.CountBlank(rng)
        
        If j > 0 Then
        
            MsgBox "There are [" & j & "] blank cells in [Row " & i & "]. Please fill all blank cells highlighted in purple"
        
        End If
        
    Next i
    Exit Sub
        
    If rng = 0 Then
    MsgBox "Retrieval process completed"
    End If


End Sub

Pat