The System.Windows.MessageBoxButton class is in the PresentationFramework.dll assembly which should be added to your project references automatically as part of the template.
Open up the References folder in Solution Explorer. Do you see PresentationFramework listed?
If you are referencing the class MessageBoxButton without the full System.Windows namespace then you need to import the namespace into your project.
You can do this either by checking the box next to System.Windows under Project Properties-->Namespace tab or by adding the directive ilusing"System.Windows" to the top of your source or within your project directives under Properties-->COBOL tab.