Since there have been a lot of request about this and since I have it working in my game Beshaped wich doesn't use CGapiApplication, I might investigate on how to get it working with CGapiApplication. I will only do this if there isn't anybody else that can post a working solution here (Johan?) and if it is enough people interested in this.
I will not use Windows API message boxes and dialogs in my own future games because I think it will make the game look less professional.