Hello MikeB,
Here's my answer. Show Message will give you a pop-up with Yes - No or Ok - Cancel. With option 2, i.e. Yes/No, it's basically provide you option with Yes or No. If you click NO, no further actions get processed. But on the 3rd option Ok/Cancel, you can set an Action Result that you can use with a Start Condition Statement. Say, for example if the user clicked 'OK', you store the value (which is 'true') and have the Start Condition Statement check the value and run actions if the Action Result is 'true'. If they clicked 'Cancel', don't do anything.
I hope this helps!
-Inder.