MessageBox's Show method receives a string to display, so you have to put your stars into a string (including new-line) and send it to the method...
Something like this...
string sz = "";
for (int i = 0; i <= 5; i++)
{
for (int j = 0; j < i; j++)
{
sz += "*";
}
sz += Environment.NewLine;
}
MessageBox.Show(sz);