How have you successfully implemented MessageBox.Show() functionality in MVVM?

To expand on Dean Chalk's answer now that his link is kaput:

In the App.xaml.cs file we hook up the confirm dialog to the viewmodel.

protected override void OnStartup(StartupEventArgs e)
{
    base.OnStartup(e);
    var confirm = (Func<string, string, bool>)((msg, capt) => MessageBox.Show(msg, capt, MessageBoxButton.YesNo) == MessageBoxResult.Yes);
    var window = new MainWindowView();
    var viewModel = new MainWindowViewModel(confirm);
    window.DataContext = viewModel;
    ...
}

In the view (MainWindowView.xaml) we have a button that calls a command in the ViewModel

<Button Command="{Binding Path=DeleteCommand}" />

The viewmodel (MainWindowViewModel.cs) uses a delegate command to show the "Are you sure?" dialog and perform the action. In this example it is a SimpleCommand similar to this, but any implementation of ICommand should do.

private readonly Func<string, string, bool> _confirm;

//constructor
public MainWindowViewModel(Func<string, string, bool> confirm)
{
    _confirm = confirm;
    ...
}

#region Delete Command
private SimpleCommand _deleteCommand;
public ICommand DeleteCommand
{
    get { return _deleteCommand ?? (_deleteCommand = new SimpleCommand(ExecuteDeleteCommand, CanExecuteDeleteCommand)); }
}

public bool CanExecuteDeleteCommand()
{
    //put your logic here whether to allow deletes
    return true;
}

public void ExecuteDeleteCommand()
{
    bool doDelete =_confirm("Are you sure?", "Confirm Delete");
    if (doDelete)
    {
        //delete from database
        ...
    }
}
#endregion

Services to the rescue. Using Onyx (disclaimer, I'm the author) this is as easy as:

public void Foo()
{
    IDisplayMessage dm = this.View.GetService<IDisplayMessage>();
    dm.Show("Hello, world!");
}

In a running application, this will indirectly call MessageBox.Show("Hello, world!"). When testing, the IDisplayMessage service can be mocked and provided to the ViewModel to do what ever you want to accomplish during the test.

Of the two you mention, I prefer option #2. The Delete button on the page just makes the "Confirm Delete Dialog" appear. The "Confirm Delete Dialog" actually kicks off the Delete.

Have you checked out Karl Shifflett's WPF Line Of Business Slides and Demos? I know he does something like this. I'll try to remember where.

EDIT: Check out Demo #11 "Data Validation in MVVM" (EditContactItemsControlSelectionViewModel.DeleteCommand). Karl calls a popup from the ViewModal (What!? :-). I actually like your idea better. Seems easier to Unit Test.