To my understanding, theme relates to the visual appearance of the message box and the OS itself controls this. I think you can override some stuff in a WinForms project but it's been a while since I've messed with it.
It sounds like you're talking specifically about the buttons though... and this is something, at least from a System.Windows.Forms.MessageBox perspective, that is specified when you call it.
One of the parameters to MessageBox.Show is an enum value for MessageBoxButtons.
https://msdn.microsoft.com/en-us/library/system.windows.forms.messagebox.show(v=vs.110).aspx
https://msdn.microsoft.com/en-us/library/ba2a6d06(v=vs.110).aspx
https://msdn.microsoft.com/en-us/library/system.windows.forms.messageboxbuttons(v=vs.110).aspx
Using the MessageBoxButtons enum, you can specify which buttons you want to appear on your MessageBox. I'm not sure if this is portable though, so be cautious 
