I'm quite confused. I have an normal win32 App which barely dosen't do anything except opening a new Window. Just before closing the user is asked if he really wants to close the application:
Ah, sorry... found out by myself -.-
It hast to be case WM_CLOSE: and not case WM_DESTROY: otherwise the window was already closed before showing the message box... so the problem wasn't related with the message box at all :D