You could always use the Windows API MessageBox() function directly (through windows.h), if you don't care about platform independency. For example:
A portable way would be to use SDL in conjunction with wxWidgets, although I am not certain exactly how you would do that (haven't tried it myself).
int main(int argc, char* argv)
if (SDL_Init(SDL_INIT_VIDEO | SDL_INIT_TIMER | SDL_INIT_AUDIO) != 0)
MessageBox(NULL, "Could not initialize SDL.", "Error", MB_OK | MB_ICONERROR);