There is a way - you have to show MessageBox using XNA
There are several articles around -
You need to play with the MessageBoxIcon method:
MessageBoxIcon is not really an icon (yes, I know - that name says so). In Windows Phone 7, it will detect the short sound that will accompany the message. And here you have several options: Alert, None, Error, Warning
However, it should be warned that using XNA methods is a bit inconvenient, as they are non-blocking methods (and you may also need to see how they interact with the back button)
Some people also wrote their own inbox - for example, http://blogs.microsoft.co.il/blogs/tomershamam/archive/2010/10/19/windows-phone-7-custom-message-box.aspx
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