Lambda expression, C# version 3 feature.
Don't use this code. A message box needs a parent window, something it can make sure to be on top of. It can normally find a parent by itself by iterating the windows that were created on the same thread. Not in this case though, there are no other windows, it has to pick the desktop window as the parent.
That will go wrong badly when the user is working in an app window or switches focus to another app, the message box disappears behind the foreground window. There is no obvious way for the user to tell that it is there, she'll just loses sight of it. It could be hours, if not days, before she finds it back. That thread is meanwhile consuming resources badly, you would probably never consider it if you knew that this message box requires a megabyte of memory. In extreme cases, you'll crash the program with OOM.
The common alternative in Windows UI programming is a balloon tooltip provided by a NotifyIcon. Or your own form with the TopMost property set to True so it cannot easily get lost. Also allows you to control the position, important for "non-modal" notifications that should not get in the way. Set that form's ShowWithoutActivation property to true in the form constructor so it doesn't steal the focus.