Message BOX
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An alert box, sometimes called a message box, is a small
window that pops up on your screen to warn you that your
computer is about to perform an operation with potentially
damaging consequences. For example, when you choose to empty
the Trash or Recycle Bin on your computer, an alert box may
pop up, saying "Are you sure you want to permanently remove
these items?" You are then given the choice to select "OK,"
to delete the items, or "Cancel," to prevent the items from
being removed.

Dialog Box
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A movable window that is displayed on screen in response to
the user selecting a menu option. It provides the current
status and available options for a particular feature in the
program. Dialog boxes are typically small, but depending on
the amount of information that must be conveyed, they can
sometimes be large.
Example:- Changing font in the notepad.

simply in message box only OK button is there you dont have 
any other option
in dialog box user have a choice to select any thing 
suppose 
in word doc when we click on Open open dialog box will 
appear