If u want it to be solved by simply using jquery and without using custom validator then here is the solution.
<body>
<form id="form1" runat="server">
<div id="chl1">
<asp:CheckBoxList ID="CheckBoxList1" runat="server">
<asp:ListItem>Item1</asp:ListItem>
<asp:ListItem>Item2</asp:ListItem>
<asp:ListItem>Item3</asp:ListItem>
<asp:ListItem>Item4</asp:ListItem>
</asp:CheckBoxList>
<asp:Label ID="Label1" runat="server" Text="" ClientIDMode="Static"></asp:Label>
<asp:Button ID="btncheck" runat="server" Text="Button" ClientIDMode="Static" />
</div>
</form>
<script type="text/javascript">
$(document).ready(function () {
$("#btncheck").click(function () {
var a = 0;
$(":checkbox").each(function () {
if (this.checked) {
a = a + 1;
}
});
if (a == 0) {
$("span[id$='Label1']").text('Please select');
return false;
}
});
});
</script>
</body>