* You could do this with jScript - it might even be easier than the following method, which doesn't require rules.
When I've had multiple check boxes - and at least one must be checked, I've used a counter field.
So you have 3 chk box fields my: chkBox1, my: chkBox2, my: chkBox3. You also create a field to store a 'counter' my:chkCount
On each chkBox field I put two rules.
if chkBox = true then my:chkCount = my:chkCount + 1
if chkBox = false then my:chkCount = my:chkCount - 1
This means that whenever at least ONE check box is ticked, my:chkCount will be greater than 0 and if none are ticked then my:chkCount = 0
Then on each chkBox validation rules I say that my:chkCount must be > 0. So all chkBoxes now show up outlined in Red until at least one checked.
I currently have Infopath uninstalled - if you still don't understand, I'll be back tomorrow with an example to attach.