procedure TForm1.Button1Click(Sender: TObject);
var
  AMsgDialog: TForm;
  ACheckBox: TCheckBox;
begin
  AMsgDialog := CreateMessageDialog('This is a test message.', mtWarning, [mbYes, mbNo]);
  ACheckBox := TCheckBox.Create(AMsgDialog);

  with AMsgDialog do
    try
      Caption := 'Dialog Title' ;
      Height := 169;

      with ACheckBox do
      begin
        Parent := AMsgDialog;
        Caption := 'Don''t show me again.';
        top := 121;
        Left := 8;
        Width := 140;
      end;

      case ShowModal of
        ID_YES: ;//здесь Ваш код после того как диалог будет закрыт
        ID_NO: ;
      end;

      if ACheckBox.Checked then
      begin
        //...
      end;

    finally
      ACheckBox.Free;
      Free;
    end;
end;