Hi Uday,
After ERROR Message the report execution will be terminated and whatever code after that message statement will not be triggered.
As you written in the "At Selection Screen"
Message s001 display like 'E'.
"When you have specified message as "S", execution will not be terminated and no use of it in your case.
You can write like this, (ofcourse Aniket Zanzan mentioned)
AT SELECTION-SCREEN.
IF FIELD IS INITIAL.
MESSAGE E000(<message_class>).
ENDIF.
Thanks & Regards,
Vijay