Or better just to create my own window to act like a messagebox?
This would be my preference, for two reasons.
1) It's very easy to implement the behavior you way - just don't set a default button.
2) I would, personally, make this look similar to a message box, but subtlety different. You are changing the default behavior of the dialog you're generating, so having it look like a standard dialog would cause some confusion in terms of usability. Making this slightly non-standard in appearance (perhaps a different message like "Click Here to Continue" on a large button below the error would make it more obvious that this doesn't behave as a standard message box).
Reed Copsey, Jr. -
http://reedcopsey.com