Nup, using messagebox.show in Asp.net is a bad idea. you can use javascript to do the same.
http://www.w3schools.com/js/js_popup.asp[
^]
http://dhtmlx.com/docs/products/dhtmlxMessage/index.shtml[
^]
If you want to show messagebox from code behind then you can use
ScriptManager Class[
^] to register javascript with page. Try this
ScriptManager.RegisterClientScriptBlock(this.Page, this.GetType(), "Myscript1", @"alert('Hi am a alert box');", true);
--Amit