In an asp.net windows forms application, in the C# code behind you can use:
MessageBox.Show("Here is my message");
You want to use an Alert. Unfortunately it's not as nice as with windows forms.
ClientScript.RegisterStartupScript(this.GetType(), "myalert", "alert('" + myStringVariable + "');", true);
Similar to this question here: http://forums.asp.net/t/1461308.aspx/1