I figured out how, posting this for others to see.
After the slider is initialized, need to bind the anchor's blur to the validation function:
$("#slider").children("a").bind("blur", sliderCheck);
Then show the Prompt on the slider div:
function sliderCheck() {
if($("#CSlider").val() != 1) {
$('#slider').validationEngine('showPrompt', 'Please move the slider to the right before submitting the form');
}
}