I think Ladyhawke is getting at the fact that the various flags are actually bitmasks, and that you ought to get used to treating them as such. With the message box it generally happens not to matter that much because you generally won't ever try to do anything as silly as the following:
MsgBox "Added AbortRetryIgnore to YesNoCancel", vbAbortRetryIgnore + vbYesNoCancel
MsgBox "ORed AbortRetryIgnore with YesNoCancel", vbAbortRetryIgnore Or vbYesNoCancel
But eventually the day will come when you want to set bits in an existing mask for something (e.g. a windows style bits), where doing addition is likely to get you into trouble.
And on a final note: 'AND' will mask out prior bits, so:
MsgBox "oops", vbYesNoCancel And vbCritical
would give an undesired result.