If you are talking about 'alert' boxes, I don't think that you can (at least, not easily).
These messages are provided by a MS-Windows service and the icons that they display, the buttons available, and sounds that they make are from a static set of options.
Progress like other languages in the MS-Windows environment simply provides an interface to this service. You can display alert-box messages like this using just MS-Windows API calls, and the calls more or less give you the same options as the Progress 4GL.
As for color and font, this is an end-user option. If the end-user wants to see green windows with pink text, then they can set this up using desktop properties. The alert-boxes always appear with these user-selected attributes.
But you can create something pretty close using the 4GL. Just define yourself a small window with the 'control-box' option switched off, use whatever icons, fonts and buttons that you like, make it 'top-only' and add some text. Easy!
