Lars,
Getting Yes/No input from the message window is no different than input of any other type. You want to have the "Yes" string as the default value.
Take a look at the Pro/Toolkit User's Guide section on default message values: "Pro/Toolkit User's Guide > Messages > Using Default Values."
The actual function to read the input is ProMessageStringRead(). You'll want to read the value and just check the string (or just the first character) against "yes" or "no" ('y' or 'n') and make sure you account for case.
Good Luck,
Michael Fussy