var textBoxes = new [] {
    new { txb = txtUserName, name = "txtUserName" },
    new { txb = txtPassw, name = "txtPassw" },
    new { txb = txtDatabase , name = "txtDatabase " }
};

var empty = textBoxes.Where(x => x.txb.Text == "").ToList();

if(empty.Any())
{
    MessageBox.Show("Please enter " + String.Join(" and ", empty.Select(x => x.name)));
}

var textBoxes = new [] {
    new { txb = txtUserName, name = "txtUserName" },
    new { txb = txtPassw, name = "txtPassw" },
    new { txb = txtDatabase , name = "txtDatabase " }
};

var empty = textBoxes.Where(x => String.IsWhitespaceOrEmpty(x.txb.Text)).ToList();

if(empty.Any() && empty.Count != textboxes.Length)
{
    MessageBox.Show("Please enter " + String.Join(" and ", empty.Select(x => x.name)));
}

var textBoxes = new [] {
    new { txb = txtUserName, name = "txtUserName" },
    new { txb = txtPassw, name = "txtPassw" },
    new { txb = txtDatabase , name = "txtDatabase " }
};

var empty = textBoxes.Where(x => x.txb.Text == "").ToList();

if(empty.Any())
{
    MessageBox.Show("Please enter " + String.Join(" and ", empty.Select(x => x.name)));
}