With the help of my friend Scofano, could implement a message box with button inside.
If they want to do, follow the tips below that Scofano gave me:
Grab a sprite, create a new layer, put the layer on top and put all the elements within the message box. Necessary to place the objects pop up to start as invisible.
Then make a button that makes the pop up button visible and X (close window) you make it invisible again.
Check out the results below: