The key is to limit the text and put emphasis on subject and action. To do that it is even better to have the button with a customized text, but at the cost of some consistency.
For consistency, in Windows, users have the habit of clicking the left most button to continue and right one to halt the process. And as such, ok/cancel and yes/no or any other positive/negative can be treated in the same way. The simple layout
Question/Information
[OK] [Cancel]
is assumed here. I also assume that you can't change the layout, but only the text. As such, the answer is to put the focus of the question on the continuation part, not on the stopping/closing part.
A better text might then be:
Click OK to keep window open.
[OK] [Cancel]
or simply, although in your context you might even be able to come up with a better text that comply with the current process:
Something happened, keep window opened?
[OK] [Cancel]
Message boxes in themselves are quite the complex thing in GUIs it is generally best to avoid them. It is also important to think about how the user would interact with the application in the case where multiple messages like these would pop up hence the importance of consistency.