[...]

The requestFocus(boolean temporary) method says:
"JComponent overrides requestFocus solely to make the method public so
that UI implementations can cause temporary focus changes. This method
is not meant for general use, instead developers are urged to call the
noarg requestFocus  or requestFocusInWindow methods. If the JComponent
has an InputVerifierassociated with it, the InputVerifier will be
messaged."

I apparently require a crystal ball...  

..to know that you tried calling both Component.requestFocus()
and Component.requestFocus(true).

OK..  here is the quick example I whipped up to check my facts.

<sscce>
import java.awt.*;
import java.awt.event.*;
import javax.swing.*;

public class TestFocus
 extends JPanel implements ActionListener {

 JTextField[] tf;

 public TestFocus() {
   tf = new JTextField[3];
   tf[0] = new JTextField("Blah!");
   tf[1] = new JTextField();
   tf[2]= new JTextField("Tah!");

   setLayout( new GridLayout() );
   add(tf[0]);
   add(tf[1]);
   add(tf[2]);

   JButton b = new JButton("Focus");
   b.addActionListener(this);
   add(b);
 }

 public void actionPerformed(ActionEvent ae) {
   for (int ii=0; ii<tf.length; ii++) {
     String text = tf[ii].getText().trim();
     if (text.equals("")) {
       JOptionPane.showMessageDialog(tf[ii],
       "Please enter details", "Data Error",
       JOptionPane.WARNING_MESSAGE );
       // need set focus here
       tf[ii].requestFocus();
       return;
     }
   }
 }

 public static void main(String[] args) {
   JFrame frame = new JFrame("Test Focus");
   frame.setDefaultCloseOperation(
     JFrame.DISPOSE_ON_CLOSE );

   frame.getContentPane().add( new TestFocus() );
   frame.pack();
   frame.setVisible(true);
 }
}
</sscce>

This code works to set the focus to the second text field for me.
Does it work for you?  Yes?

In that case, the answer is to change that code, one line at a time,
to your code.  Then, when it breaks, that is the bit you are doing wrong.

If that fails to produce your solution, try making an SSCCE*, as I did.

* <http://www.physci.org/codes/sscce.jsp>

HTH