You can't, or at least, you can't do that in your VB code, for the same reason that you can't use ShowDialog, MessageBox.Show, or MsgBox (if you are old enough to remember VB6).
All VB code is executed at the Server, never at the client - the only code you can execute at the client is in JavaScript, and that can't be executed until it's all sent to the client browser and rendering of the HTML starts - which doesn't happen until you have finished building the whole page data in your VB code.
Which means that if your VB code did stop and wait for the user to acknowledge a message then the message would never be presented to the user at all!
All you can do is use the
JavaScript Alert[
^] to prompt the user and execution of the JavaScript code will halt until the user acknowledges it.