Hi Paul and welcome to VBAX

I think this is do-able...
Right-click you media player object and select "View Code" - this will take you to the VBE at the object's OpenStateChange event.
In the event list (the combo box above the code window on the right) you'll see a whole load of events to add code to, such as your message box.
From what I can make out, the only way to achieve what you want is to use the MakerHit event - however, in order to use it you will have to add a marker at the required position to your media clip.
Here's where it gets a bit tricky so I'll casually leave you this MS link and leave you to it: Inserting Markers in Digital Media Content
I don't know a great deal about digital media content but I'd be very interested to hear how you get on.