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A dialog box is a special kind of menu for asking you a yes-or-no question or some other special question. Many Emacs commands use a dialog box to ask a yes-or-no question, if you used the mouse to invoke the command to begin with.
You can customize the option
use-dialog-box to suppress the
use of dialog boxes. This also controls whether to use file selection
windows (but those are not supported on all platforms).