Try following, perfectly working..
<asp:TextBox ID="TextBox4" runat="server"></asp:TextBox><br />
<asp:TextBox ID="TextBox5" runat="server"></asp:TextBox><br />
<asp:CompareValidator ID="CompareValidator1" runat="server" ControlToCompare="TextBox4"
ControlToValidate="TextBox5" ErrorMessage="value should less than first textbox"
Operator="LessThanEqual" Type="Integer"></asp:CompareValidator>
Thanks