Personally I find both the WinAPI MessageBox and Application.MessageBox and MessageDlg functions cludgy and always add the following function to every app.
function MsgBox(const Msg: string;
MsgType: Integer = MB_OK or MB_ICONSTOP): Integer;
begin
Result := MessageBox(Application.Handle, PChar(Msg),
PChar(Application.Title), MsgType);
end;
requires that Forms.pas is in the uses clause.