If you want the System.Windows.Forms MessageBox, you must reference System.Windows.Forms. But, do you really want to show a MessageBox on the server, when your web whatever is hosted ? I doubt it.
Microsoft has a code example here to kind-of simulate the WinForm MessageBox functionality in ASP.NET: [
^].
There's an article here on CP with a custom MessageBox for ASP.NET and Ajax: [
^].