For StackOverflow Question on Icon\Dialog transparency in VS 2008 on Windows CE devices.
Make sure "Arial Unicode MS" font is on the device - I have placed one version in ForDeviceOrEmulator. I think its just a matter of placing it in the Font directory under the Windows directory on the device or emulator.
Original XMessageBox can be obtained from http://www.codeproject.com/Articles/1239/XMessageBox-A-reverse-engineered-MessageBox