The message in your MessageBox doesn't indicate that you're giving the user a choice; just that you're notifying them of something. If you want to provide options then your message should indicate that. You can then use the MessageBoxButtons enumeration to specify what buttons to display, e.g.
vb.net Code:
If Me.File_Name.Text <> String.Empty OrElse
MessageBox.Show("No file has been selected. Would you like to proceed?", _
"Confirm", _
MessageBoxButtons.OKCancel) = Windows.Forms.DialogResult.OK Then
'Proceed
End If
Now the code will proceed if the TextBox is not empty or if the user clicks the OK button on the MessageBox. Note that the MessageBox is only displayed if the TextBox is empty.