UserInteractive mode (How to)

When runnin my fisrt web application (from an example from a text book) I get the following error:

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It is invalid to show a modal dialog or form when the application is not running in UserInteractive mode. Specify the ServiceNotification or DefaultDesktopOnly style to display a notification from a service application.
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The modal dialog in question is a MsgBox().

How do I run the application in UserInteractive mode?

I've been told to use the JavaScript alert() function instead, but I would like to know if it really has to be so.

Tkx!