A MessageBox is what we call a modal dialog(window).
It means you have to respond to it somehow before you can continue.
A print dialog is another example of this. You wanted to print something, so this dialog shows up. Now you can set several settings of a printer and click the OK button to print. If you somehow decided not to print, click the Cancel button. Only after this you can continue with your program.
Another type of dialog(window) is called modeless. It can stay on screen while doing other things. A typical example is the Quick Find dialog in Visual Studio. Suggest you do some search on both in Google or MSDN.
If you can't get a hang of it, just return here with your questiions. Succes!