Updating the default required field message in Sitecore is very simple. If you have never come across the WFFM 'NotEmpty' item, then you will now. You can find the NotEmpty item in the content editor here:

/sitecore/system/Modules/Web Forms for Marketers/Settings/System/System Validation/NotEmpty

After opening the item, it should look a bit like this:

WFFM_Required_Field_Validator

In the 'Error Message' field, simply update the text to whatever suits your requirements, save the item and publish it. If you prefer to only change the message on a certain field type, like the single text field, in:

'/sitecore/system/Modules/Web Forms for Marketers/Settings/Field Types/Simple Types'

Find the field type item that you want to update, like 'Single Line Text'. You will need to modify the 'Localized Parameters' field. My one looks like this:

WFFM_Troubleshooting_5

From here updating the validation messages should be obvious. Enjoy!