For a MessageBox in fullscreen mode, you need to call the DirectX function SetDialogBoxMode(TRUE) before.

if (fullscreen)
d3dDev->SetDialogBoxMode(TRUE);
else
d3dDev->SetDialogBoxMode(FALSE);

MessageBox(hWnd,Text,Title,MB_OK|MB_ICONSTOP|MB_TASKMODAL|MB_SETFOREGROUND|MB_TOPMOST);