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SHMessageBoxCheck (shlwapi)
 
.
Summary
Displays a message box with a "Never show this dialog again" check box. This dialog is useful for displaying a one-time message to the user where they are likely never to want to see the dialog again.
MSDN

C# Signature:

/* The SHMessageBoxCheck() function is a Windows Shell API function that displays a custom messagebox with a "never ask me again" check box.  When the user checks the checkbox, the dialog never shows up again.  The shell API .dll exports this function by ordinal only.  The entrypoint  is ordinal 185 for ASCII and 191 for unicode. */

[DllImport("shlwapi.dll", EntryPoint="#185", ExactSpelling=true, PreserveSig=false)]
public static extern int SHMessageBoxCheck(
    [In] IntPtr hwnd,
    [In] String pszText,
    [In] String pszTitle,
    [In] MessageBoxCheckFlags uType,
    [In] int iDefault,
    [In] string pszRegVal
    );

VB Signature:

Declare Function SHMessageBoxCheck Lib "shlwapi.dll" (TODO) As TODO

User-Defined Types:

None.

Alternative Managed API:

Do you know one? Please contribute it!

Notes:

/* We use the Windows Shell function SHMessageBoxCheck, so we have to define this parallel enum of the definitions in winuser.h. */

public enum MessageBoxCheckFlags : uint
{
    MB_OK             = 0x00000000,
    MB_OKCANCEL           = 0x00000001,
    MB_YESNO          = 0x00000004,
    MB_ICONHAND           = 0x00000010,
    MB_ICONQUESTION       = 0x00000020,
    MB_ICONEXCLAMATION    = 0x00000030,
    MB_ICONINFORMATION    = 0x00000040
}

The Windows Shell (Explorer) stores your preference in the following registry key:

HKEY_CURRENT_USER
        Software
            Microsoft
                Windows
                    CurrentVersion
                        Explorer
                            DontShowMeThisDialogAgain

One problem: If you have an application that you must uninstall, how do you install this key for all users? For example, suppose users X and Y have checked the "Do not show me this dialog again" checkbox. Now user X uninstalls the program. The installer would need to be able to go into user Y's registry settings to remove the registry key, which may not be possible depending on system permissions. I don't know how to solve this problem.

Tips & Tricks:

Blog

Note the discussion on what to do when you have multiple dialog options, like YES/NO and OK/CANCEL.

Sample Code:

/* This code displays a dialog box with a "Don't show me this dialog again" checkbox and an OK button.  In normal circumstances, result will always be 0 on return. */

int result;

try
{
    result = SHMessageBoxCheck(
        this.Handle,
        "This text fills the dialog",
        "This text is in the title bar",
        MessageBoxCheckFlags.MB_OK | MessageBoxCheckFlags.MB_ICONINFORMATION,
        0,
        "MyApplicationName.exe" // This last argument is the value of the registry key
        );
}
catch( Exception e )
{
// Note that the only exceptions we can get here are inter-op exceptions, I think.
    result = -1;
}

if( result == -1 )
{
// The dialog didn't show up, so do some alternate action here.
}

Documentation

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