There is no T-SQL messagebox or other dialog, as T-SQL runs serverside and not at client. If there would be uerinterface it make no sense popping up up serverside, where a user can't see it and can't interact with, but SQL Server has no other task than to send back results of the script - at best multiple results and errors. The SQL Server has no permissions to act on the client that connects to it, so such visual interactions are not part of the T-SQL language at all. You can think of a connection as having two pipes, the main one for sending back results, like stdout and the other for noticing the connnected clients of errors, like stderr.
The only other command that returns something to the client I know from the top of my head is PRINT, which used within SSMS is shown in the messages tab, so it makes use of the "stderr" pipe.
If you want to have user interface, you have to program something with any client tool, starting from powershell, vba in office, or java Visual Studio languges that act as moderation between user and database server. In short that's what classically can be done with a ddesktop application. But also a web application, provided the server side of such a web app is able to work with thee SQL Server.
So the whole world is open for your need, but not T-SQL.
Notice, I was waiting with my answer to see if others know something else. Now that you got no other answer after a day I'm pretty confident that's all there is.
There is at least one thing SSMS does that's not T-SQL, it's the GO command, which is not part of T-SQL, but means send the script up to that line with GO to SQL-Server, execute and come back.
And here's one hint there could be a bit more than GO: If you look into the documentation of GO the title is "SQL Server Utilities Statements - GO".
That suggests it's only one of more such statements that are run on the utuility side - client side. I guess using sqlcmd.exe instead of SSMS you might have more at hand, like DOS interactions with users at the shell window level or console, likke waiting for a Y/N or a number.
When it comes to executing T-SQL script your best option without further programming is define variables at the top of the script - to make it comfortable for a "user" and allow setting vriable values, but that's not interactive, that's done in advance.
But if you ask me, the best option to offer interaction with the user is starting with that aspect and write a desktop or web application with an interface to start with, instead of handling everything just through SSMS query windows and scripts. That's meant for DBAs, not end users, anyway.
On the other hand, if you are a DBA, ou shouldn't have problems scripting SQL to answer your own database questions very individually, use multiple scripts, get at the data you need to put into parameterization of the next scripts, etc.
Chriss