I can envision a situation where the message box might cover some vital information that pertains to the message, and if you can't see that information, it may be problematic in dealing with the message. Don't forget that the message box may not be one that results in a simple OK response - it could contain 3 options and the info may need to be seen in order to facilitate a choice.
If that is the case, I'd go with a form as suggested, but make it modal. Seems obvious to me that if a decision needs to be made, there ought not to be any further code execution until the choice is made, so modal ought to function well in a case like this.
EDIT - forgot to say that the MoveSize method used in form opening may be simple enough for positioning such a form.