Web application is all about HTML and JavaScript. Here there is no messagebox equivalent server side control. However you can register a JavaScript "alert()" function from server side which virtually acts as messagebox. :) here is code...
Page.RegisterClientScriptBlock("MyScript", "<script>alert('Data saved successfully')</script>");
ClientScript.RegisterClientScriptBlock(this.GetType(), "MyScript", "<script>alert('Data saved successfully')</script>", false);