You can use wx.wxMessageBox
It can be customised to suit.
wx.wxMessageBox("Main text", "title text", wx.wxYES_NO) --Message box with Yes/No
wx.wxMessageBox("Main text", "title text", wx.wxOK + wx.wxCANCEL) --Message box with Ok/Cancel
You can also change the icon using wx.wxICON_INFORMATION, wx.wxICON_ERROR, wx.wxICON_WARNING, wx.wxICON_NONE
For example
wx.wxMessageBox("Main text", "title text", wx.wxYES_NO + wx.wxICON_ERROR)
When the user presses one of the button on the dialog it returns what they pressed
rc = wx.wxMessageBox("Main text", "title text", wx.wxYES_NO)
if (rc == wx.wxYES) then --If dialog had Ok or Cancel you would used wx.wxOK or wx.wxCANCEL here depending on what you wanted to do
--user pressed Yes
else
--user pressed no or closed the dialog
end