Assuming you have locations in col. A and starts from the cell A2, then select all the cells from A2 to the desired no. of cells in col. A, click on Data Validation-->Custom-->in the formula text box, place the following formula and click ok. You can change the col. if it is other than col. A in the formula.

=AND(EXACT(LEFT(A2,1),UPPER(LEFT(A2,1))),ISNUMBER(MID(A2,2,1)+0),EXACT(MID(A2,3,1),UPPER(MID(A2,3,1))),ISNUMBER(RIGHT(A2,1)+0))
Is this what you want?