MsgLightBox · also available MsgBox Countdown
Blog, Tweet or Recommend · Full Screen MsgLightBox, create a full screen Userform overlay lightbox effect in Excel
MsgLightBox is a Full Screen configurable Lightbox layer wrapped around a standard VBA MsgBox for Excel. You can set the Opacity of the UserForm overlay from 0-255. This Lightbox also features a low-level keyboard hook which disables Alt+Tab for Application switching, Escape+Ctrl combinations and the regular function keys F1-F12.
Three examples are included in the Workbook. Press each of the Blue Buttons in the Workbook in turn to see the effects. The first shows the Lightbox effect at opacity of 200.
Fig 1.

The second example demonstrates capturing the return values of the MsgBox as VbMsgBoxResult values. You can use [if rVal = vbYes then] do something to respond to a user selection. It is a little lighter too at opacity 150.
Fig 2.

The third example displays a Critical Warning and is a dark overlay at opacity 210. Combined with the vbCritical value it gives a striking Stop effect.
Fig 3.

Try clicking on the Task Bar or the System Tray when you run each example!