Skip Column In Select Case

I've been through the forum and I've got my VBA to check that columns 37, 38
and 40 are entered if column 2 = 'O'. However I just can't get it to exclude column 39 from the check! Is there a way of getting Case Else to do this or should I use an Array?

Dim rCell As Range
Dim strMessage As String
Dim RowCounter As Integer
Dim ColumnsChecked As Integer

For Each rCell In Range("B14:B5000")
RowCounter = rCell.Row
If rCell = "O" Then
For ColumnsChecked = 37 To 40
If Cells(RowCounter, ColumnsChecked).value = "" Then
Select Case ColumnsChecked
Case 37
strMessage = "COMMENTS"
Case 38
strMessage = "INVOICE NUMBER"
Case 40............................