>This may sound weird or stupid but I was wondering if I can Underline a word/phrase inside the MESSAGEBOX()
>I want to give more emphasis that single quotes around it, so I’m here thinking maybe it can be done but I don’t see it. Is there any way to do that?

Nope. MESSAGEBOX() is simply a wrapper of the Win32 API call which doesn't support this. You could just build a simple modal form that acted like a messagebox and create a wrapper if needed. There are classes in the FIles section that may be some use for this.