It can be done with a compare validator as below. Unlike the other answers, this also allows negative numbers to be entered, which is valid for integer values.
<asp:TextBox ID="TextBox1" runat="server"></asp:TextBox>
<asp:CompareValidator ControlToValidate="TextBox1" runat="server" ErrorMessage="Integers only please" Operator="DataTypeCheck" Type="Integer" ></asp:CompareValidator>