If you are entering a list of values that are meant to be of a certain length, such as postal codes or zip codes, you would want to only allow entries that are of a specific string length.   An example is United States zip codes, because you would want entries that are 5 digits (for this example we are not considering the hyphenated four-digit extension that has never quite caught on).

Data Validation can be used to mandate character length, and that each character is a number, in this example entries being made in range A2:A20.

Select range A2:A20 and then...

In Excel version 2003 or before:
From the worksheet menu, click Data > Validation.

In Excel version 2007:
From the Ribbon, click the Data tab, and in the Data Tools section, select Data Validation.
From the drop down list select Data Validation.

In the Data Validation dialog where you would be now, from the Allow drop down list, select Text length; from the Data drop down list, select Equal to; and in the Length field, enter 5.

As a side note, some zip codes begin with a leading zero so beforehand, format the range as Text.

To deal with the possibility of an entry where one or more characters is not a number, and you still want to allow for a leading zero, a custom formula would help.   Select range A2:A20.   In the Allow drop down list, select Custom, and in the formula field enter
=OR(AND(ISNUMBER(A2),LEN(A2)=4),AND(ISNUMBER(A2),LEN(A2)=5))
In this case, preformatting the cell as Text would disallow an entry of five digits if the first was a zero, so keep the range's formatting as General or some other number-friendly format.

Click onto the Input Message tab to enter optional text, such as entry instructions, that will appear when the user selects that cell.
Click onto the Error Alert tab and select "Show error alert after invalid data is entered".  From the Style drop down list, select Stop, and in the Title and Error message fields, enter the text you want your users to see in the warning message that will appear when an invalid entry is attempted.
Click OK to confirm your Data Validation settings.