Drop a button on on a form and give this a try
Private Sub Button1_Click(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles Button1.Click
Dim response As MsgBoxResult
response = MsgBox("Do you want to continue", MsgBoxStyle.YesNo, "Hey") ' message,style,title
If response = MsgBoxResult.Yes Then
MsgBox("Yes")
Else
MsgBox("No")
End If
End Sub