Custom windows error popups?

A while ago I got a virus from MPGH, and the "hacker" was chatting in General with us for a while and giving us hints to where the files were hidden.
I was being fairly nice to him, and all of a sudden a popup comes up saying he logged into my MSN and added himself and he wants me to log on and chat.
I did, and it was true that he added himself.
Apparently my wifi router was messing with his connection to me, so he uninstalled his RAT.

The question I want to ask is, how do I make these custom error messages?
Would I do it through a Visual Studio program, or VB?
Im learning C++ and as "exercise" my friend told me to make a "virus" that he will download that will do something funny