When the process is running I need a message box with "Cancel" and "Proceed" buttons:
MsgBox()
has some predefined button combinations (first parameter "Flag"):
0 OK
1 OK and Cancel
2 Abort, Retry, and Ignore
3 Yes, No, and Cancel
4 Yes and No
5 Retry and Cancel
6 Cancel, Try Again, Continue
$x = MsgBox(1, "Proceed?", "Want to continue?")
ConsoleWrite($x & @CRLF)
If $x = 1 Then ConsoleWrite("continuing..." & @CRLF)
If $x = 2 Then ConsoleWrite("exiting..." & @CRLF)
If you don't want to use them, you will have to build your own GUI instead.