>I'm amazed that there is no MessageBox in ASP.Net.
It wouldn't make any sense - it needs to be generated and acted on on the client side.
>
>How to I prompt the user for a Yes/No answer?

If you can get away with just a 'Yes' you can use the javascript confirm() function.

If using VBScript is an option then there is a MsgBox() function that allows Yes/No/Cancel:
http://msdn.microsoft.com/en-us/library/sfw6660x(VS.85).aspx

I think it's also possible to build the same sort of functionality in Javascript but obviously a lot more work....