C# / .NET messagebox is not modal

You need to assign the MessageBox owner property to the main UI window (look at the 3rd constructor).

This is a simple C# new Windows-Forms application:

using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.Data;
using System.Drawing;
using System.Linq;
using System.Text;
using System.Windows.Forms;

namespace WindowsFormsApplication1
{
    public partial class Form1 : Form
    {
        public Form1()
        {
            InitializeComponent();
        }

        private void button1_Click(object sender, EventArgs e)
        {
            string message = "You did not enter a server name. Cancel this operation?";
            string caption = "No Server Name Specified";
            MessageBoxButtons buttons = MessageBoxButtons.YesNo;
            DialogResult result;

            // Displays the MessageBox.
            result = MessageBox.Show(this, message, caption, buttons);
            if (result == DialogResult.Yes)
            {
                // Closes the parent form.
                this.Close();
            }
        }
    }
}

As Dusty states in his answer, a message box is a modal dialog. Specify the owner property. In this example, the owner is denoted by the keyword this.

To get system modal messagebox set MessageBoxOptions.DefaultDesktopOnly.