The "required object" would probably be the active sheet. So, in Ray's code, make the following minor adjustment:-
For Each c In ActiveSheet.UsedRange.SpecialCells(xlCellTypeBlanks)
c.Interior.ColorIndex = 8
You would be better off to use Ray's code as you will no doubt be wanting to deal with one empty cell at a time, not a whole group of them as my initial code shows.
So, its over to you Ray, I'm off to work now (for the second time today!).