Creating a sub window

Arent dialog boxes those little notifiers that give you Yes, No, or Cancel, Retry ect?



I'm looking for like a sub window. There is mini window things, i saw the example, looks like what i might need.

But wouldnt I at least get an error with the above code? I think i'm connecting the clicking event wrong? But I cant find a list of event commands, Button clicked seems the closest i can find for the tool bar..

Any ideas?