It might not be hard to implement, but it's outside of SFML's scope. SFML doesn't provide any GUI elements, and (probably) never will. If you want native message boxes, use a UI toolkit like GTK, QT, or wxWidgets. Like someone else said above, you could also write your own SFML-based message box, with a rectangle or string. Or you could take a look at the wiki, there's the starts of a GUI framework for SFML there. It's called IMGUI.