For starters, I'd suggesting using MessageBox.Show instead...
Secondly, if you then read the documentation you'll find out that it is a function... which means it returns the value ... so it works like this:
Code:
    Dim result = MessageBox.Show(message, caption, _
                                 MessageBoxButtons.YesNo, _
                                 MessageBoxIcon.Question)

    ' If the no button was pressed ... 
    If (result = DialogResult.No) Then 
        ' cancel the closure of the form.
        e.Cancel = True 
    End If
-tg