Sometimes it is more effective not to use a validation rule in InfoPath, but instead to accomplish the same goal with a non-validation rule. For example in Sidhanta's case, a message rule on the OK button can pop up the information that the field still needs to be filled, then any remaining rules on the OK button can be prevented from running. This accomplishes the goal of validation without invoking a validation rule.
Alternatively, there can be two OK buttons, one hidden at any given time. Before the required field is filled, a grayed out OK button shows and pops up an info message if clicked. After the required field is filled, then the 'real' OK button shows.