You could use the following method to show a message box (with a custom message in this case):

private static bool Confirm(IEngine engine, string message)
{
var uiBuilder = new UIBuilder();

uiBuilder.Append(message);
uiBuilder.AppendButton("okBtn", "OK");
uiBuilder.AppendButton("cancelBtn", "Cancel");

var uiResults = engine.ShowUI(uiBuilder);
return uiResults.WasButtonPressed("okBtn");
}

This will then return true/false depending if the user confirmed or not.

Also note that this does imply that the script is executed by a user. If not, you'll need to use "FindInteractiveClient" so a user can first attach to the script.