MSG Box: This procedural action displays the message and expect a key press from the user.
Start Msg Box and End Msg Box: These are asynchronous message boxes. The action Start Msg Box invokes the message box and retains it till the action End Msg Box is encountered. The message box continues to appear till the action End Msg Box is encountered or the function is terminated, whichever is earlier. Unlike action Msg Box, this action is executed asynchronously, that is, it does not expect a key press from user. When executed, it displays the message box, and continues to execute the subsequent actions.
For detailed explanation, please refer to TDL Reference Manual.