Is it possible to bring up an AfxMessageBox when a user makes a change in a CGXComboBox? I need a Yes/No response when the user changes the control.

Yes, you should override OnStoreDroppedList and set an attribute (e.g. m_bDisplayBox = TRUE). Furthermore, you should override DestroyDropDownWnd and display the message box

Example:

void CMyComboBox::DestroyDropDownWnd(CWnd* pDropDownWnd)
{
   CGXComboBox::DestroyDropDownWnd(pDropDownWnd);
   if (m_bDisplayBox)   
      AfxMessageBox("This is a message");
   m_bDisplayBox = FALSE;
}