What most naturally follows?

How to close a dialog box
Realize that dialog boxes are displayed when there could be a liability issue that could ensue.
The program creator wants to make sure that the user realizes the effects of what performing the action might take, and that you know the process to undo the change (if any are accidentally completed).
Respond to the dialog box.
Click the ok or cancel/close buttons from the dialog box. Traditionally, closing them could take a click of one of the boxes.