I\'ve got a WPF application which calls MessageBox.Show() way back in the ViewModel (to check if the user really wants to delete). This actually works>
I've made a simple MessageBox wrapper control for us to use in pure MVVM solution and still allowing unit testing capability. The details are in my blog http://geekswithblogs.net/mukapu/archive/2010/03/12/user-prompts-messagebox-with-mvvm.aspx