The MessageBox() and similar Windows API functions are not blocking the execution, like an IO operation or mutexing would do. The MessageBox() function creates a dialog box usually with an OK button - so you'd expect automatic handling of the Windows messages related to the message box. This is implemented with it's own message loop - no new thread is created, but your application remains responsive, because selected messages like Paint are handled calling recursively your WndProc() function, and some messages are not transmitted to, because of the modal type of the created window.
MessageBox runs its own Win32 message loop (so as not to freeze calling app).
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