Well ASP is a pure server side thing and u can not use ASP for showing message boxes at the client side... but still we can use some alternate to do the same which apparently seems to b like msgboxes...
i have done the same in one of my web pages.
see the following code:-
//-----------------------------------------------------
<HTML>
<HEAD>
<script>
<!--
function ShowModelWindow()
{
window.showModalDialog("ShowRemarks.asp","dialogWidth:200,dialogHeight:200"

;
}
function ShowRemarks()
{
window.open("ShowRemarks.asp","NewWin","menubar=no,toolbar=no,status=no,width=325,height=200"

;
}
//-->
</script>
</head>
<BODY>
<BASE target="RightPane" >
<BODY link="#FFFFFF" Bgcolor="#F8C476" Text=White alink=#FFFFFF vlink=#FFFFFF Onload="ShowRemarks();">
//--------------------------------------------------------
actually i have used javascript function ShowRemarks()
to open a new window apart from the original window and in that window an asp page is opened.... this is something which is done using window.
see there is one more javascript function ShowModelWindow() which shows a model window(i hope u know the differnce between model and modeless windoe) ..
try using this...
Cheers
Rakhi Kalra