ASPNET_MsgBox - help me understand

I am a little bit confused how it works. I have several subs that call the msgbox sub but it seems like messages are not displayed untill a new page_load takes place. Is this correct? Is there a script that could run at client and display message without having to go through page loads? Also when msgbox is being displayed it blanks the current page and does not overlay.

Code:

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Private Sub CheckReportExists(ByVal DocumentName As String)

        Dim myFSO
        myFSO = Server.CreateObject("Scripting.FileSystemObject")

        If (myFSO.FileExists(ViewState("FilePath") & "\" & DocumentName & ".pdf")) = True Then
            Message = "Warning: Daily Sales Report already exists. If you want to overwrite then hit OK otherwise press Cancel"
            ASPNET_MsgBox_Confirm(Message)
        End If

        myFSO = Nothing

        Continueprocess = False

    End Sub

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Code:

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Public Overloads Sub ASPNET_MsgBox_Confirm(ByVal Message As String) 'Confirm

        hiddenMsgDiv.InnerHtml = "<script type=""text/javascript"">confirm('" & Message.Replace("\", "\\").Replace("'", "\'") & "');</script>"
       
    End Sub

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Code:

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<div id="hiddenMsgDiv" runat="server" style="display: none">
    </div>
</asp:Content>

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When (at what event) do you want the message box to be displayed?