Can you specify what form you are using? DialogResult is a property of a form which can be returned if it is shown modally (ShowDialog).
Are you using a form you have designed, a MessageBox or a 3rd party control? If you have a 3rd party control then it will a bit harder for us to know what the problem is.
When you say it is "shown disabled" do you mean that is is visibly disabled (eg greyed out) or that it is there but clicking on it has no effect?
If you specify a button set for the messagebox which does not include Cancel then the close button will be clickable but nothing will happen. This is because a Yes/No box is intended to return a yes or a no, the Close button is equivalent to clicking Cancel.
Try MessageBox.Show("test", "test", MessageBoxButtons.YesNoCancel); and let me know if the same problem occurs.