I've been looking at this and it seems that if you set your validation group to be the name of your CreateUserWizard control, your validator will be used when the reigster button is clicked.
I hope this is of some use,
Rob.
E.g:
<asp:CreateUserWizard ID="RegisterUser" runat="server" >
<WizardSteps>
<asp:CreateUserWizardStep ID="CUWStep1" runat="server">
<ContentTemplate>
// Normal login stuff ripped out.
Business Focus:
<asp:DropDownList ID="ddlBusinessFocus" runat="server" >
<asp:ListItem Value="0" Text="" Selected="True" />
<asp:ListItem Text="Hedge Fund" />
</asp:DropDownList>
<asp:RequiredFieldValidator id="ddlBusinessFocusValidator"
runat="server" ErrorMessage="Please make a selection"
ControlToValidate="ddlBusinessFocus"
InitialValue="0" ValidationGroup="RegisterUser"/> <br />
</ContentTemplate>
</asp:CreateUserWizardStep>
<asp:CompleteWizardStep ID="CompleteWizardStep1" runat="server">
</asp:CompleteWizardStep>
</WizardSteps>
</asp:CreateUserWizard>