Validating user input is no different in a console app than it is in a Winforms app. It's also very similar to validating user input in an ASP.NET app, except that you don't have the nice Validation controls.
If you're coming from an ASP.NET background look at how people use CustomValidators - pay attention to the code-behind and ignore the client-side validation.
Also, you can use RegularExpressions in a Console app just as easily as you can in an ASP.NET app.
Probably the reason validation isn't mentioned specifically to Console apps is that validation of input is validation of input. The methods are the same almost everywhere. The only difference with ASP.NET comparatively is the existence of custom controls that help do it for you.