Images from GUI Bloopers, by Jeff Johnson. Used without permission.
What's wrong with this?
The dialog boxes provide no way out rather than a direction that the user doesn't want to go in.
When designing dialog boxes, especially error and warning dialog boxes, provide the users with sufficient alternatives. Label the choices clearly so that the user cannot be confused about what the different choices are.
It helps to list the possible intentions of the user may have had when the dialog box was displayed. Keeping the user's intentions in mind helps because perception and comprehension are strongly influenced by what a person's intentions are at that moment. It is also very important to test dialog boxes to make sure users understand them and that all the required choices are provided.