Or do I have to use threads? (C++)
No there isn't. Alternatively, you can create a "modeless dialog box".
Message boxes are modal dialogs. The whole idea is that they aren't asynchronous. Assuming it was possible to do this (which it is, given the right amount of tinkering), would you want to confuse users with something that looks familiar but acts in a different way to what they expect? The question is, why do you want to do this? maybe there is a better solution.
来源：https://stackoverflow.com/questions/3556089/is-there-any-way-to-have-async-messagebox