I agree with Tore, adjusting video settings may help.

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Try using API MessageBox call instead of VFP MESSAGEBOX function.
http://www.news2news.com/vfp/?function=73

DECLARE INTEGER MessageBox IN user32 As MessageBoxA;
    INTEGER hwnd,;
    STRING lpText,;
    STRING lpCaption,;
    INTEGER wType

First input parameter is a handle to the owner window (0 means no owner). Pass with this parameter a handle to active form (ThisForm.HWnd), or a handle to VFP main window (_screen.HWnd), or app window (_vfp.HWnd). This may resolve the issue.

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Another option is here -- Extended MessageBox Library (FLL) for Visual FoxPro
http://www.news2news.com/vfp/?solution=3

This FLL allows to keep calls to the regular MESSAGEBOX unchanged, while adding access to many extended features. That includes positioning of the MessageBox dialog window (desktop-absolute, or aligned to active monitor's border), choosing fonts, backgrounds, icons, button captions, displaying additional controls and more.

Fully-functional demo version of the Extended MessageBox FLL is available on the web page.