.NET: How to have Escape close a MessageBox.Show()?

I don't believe this is possible, although the typical equivalent is specifying one of the MessageBoxButtons flags with Cancel (specifically YesNoCancel in your case).

It should be fairly straightforward to recreate your own MessageBox function with this feature, if you really want it, though really Cancel does the job.

You have to enable the "Cancel" option with the enum value "MessageBoxButtons.YesNoCancel"