Using DataAnnotations on Windows Forms project

I recently used ASP.Net MVC with DataAnnotations and was thinking of using the same approach for a Forms project but I'm not sure how to go about it.

I have set my attributes but they do not seem to get checked when I click Save.

UPDATE: I have used Steve Sanderson's approach which will check for attributes on my class and return a collection of errors like so:

        try
        {
            Business b = new Business();
            b.Name = "feds";
            b.Description = "DFdsS";
            b.CategoryID = 1;
            b.CountryID = 2;
            b.EMail = "SSDF";
            var errors = DataAnnotationsValidationRunner.GetErrors(b);
            if (errors.Any())
                throw new RulesException(errors);

            b.Save();
        }
        catch(Exception ex)
        {

        }

What do you think of this approach?