I have been trying to implement Win32's MessageBox using GTK. The app uses SDL/OpenGL, so this isn't a GTK app.
I handle the initialization (gtk_init) sort of stuff inside the MessageBox function as follows:
int MessageBox(HWND hwnd, const char* text, const char* caption, UINT type)
{
    GtkWidget *window = NULL;
    GtkWidget *dialog = NULL;
    gtk_init(>kArgc, >kArgv);
    window = gtk_window_new(GTK_WINDOW_TOPLEVEL);
    g_signal_connect(G_OBJECT(window), "delete_event", G_CALLBACK(delete_event), NULL);
    g_signal_connect(G_OBJECT(window), "destroy", G_CALLBACK(destroy), NULL);
    // gcallback calls gtk_main_quit()
    gtk_init_add((GtkFunction)gcallback, NULL);
    if (type & MB_YESNO) {
        dialog = gtk_message_dialog_new(GTK_WINDOW(window), GTK_DIALOG_DESTROY_WITH_PARENT, GTK_MESSAGE_QUESTION, GTK_BUTTONS_YES_NO, text);
    } else {
        dialog = gtk_message_dialog_new(GTK_WINDOW(window), GTK_DIALOG_DESTROY_WITH_PARENT, GTK_MESSAGE_INFO, GTK_BUTTONS_OK, text);
    }
    gtk_window_set_title(GTK_WINDOW(dialog), caption);
    gint result = gtk_dialog_run(GTK_DIALOG(dialog));
    gtk_main();
    gtk_widget_destroy(dialog);
    if (type & MB_YESNO) {
        switch (result) {
        default:
        case GTK_RESPONSE_DELETE_EVENT:
        case GTK_RESPONSE_NO:
            return IDNO;
            break;
        case GTK_RESPONSE_YES:
            return IDYES;
            break;
        }
    }
    return IDOK;
} 
Now, I am by no means an experienced GTK programmer, and I realize that I'm probably doing something horribly wrong.
However, my problem is that the last dialog popped up with this function staying around until the process exits. Any ideas?
A few things:
You are creating (and not using) an unnecessary toplevel window, named window.  You can just delete these lines:
window = gtk_window_new(GTK_WINDOW_TOPLEVEL);
g_signal_connect(G_OBJECT(window), "delete_event", G_CALLBACK(delete_event), NULL);
g_signal_connect(G_OBJECT(window), "destroy", G_CALLBACK(destroy), NULL);
Also, the flow doesn't seem quite right.  gtk_main() starts the GTK main loop, which blocks until something exits it.  gtk_dialog_run() also starts a main loop, but it exits as soon as one of the buttons is clicked.
I think it might be enough for you to remove the gtk_init_add() and gtk_main() calls, and simply deal with the return value.  Also the gtk_widget_destroy() call is unnecessary, as the dialog window is automatically destroyed when gtk_dialog_run() returns.
To manage a dialog box with GTK+, use a GtkDialog and gtk_dialog_run() instead of managing a window and a main loop by yourself.
EDIT / ADDENDUM :
What I mean is "just use" : I don't understand why you create a windows you never use and a main loop which seems useless (at least from the piece of code you posted). You can write something as short as :
int MessageBox(HWND hwnd, const char* text, const char* caption, UINT type)
{
    GtkWidget *dialog ;
    /* Instead of 0, use GTK_DIALOG_MODAL to get a modal dialog box */
    if (type & MB_YESNO)
        dialog = gtk_message_dialog_new(NULL, 0, GTK_MESSAGE_QUESTION, GTK_BUTTONS_YES_NO, text );
    else
        dialog = gtk_message_dialog_new(NULL, 0, GTK_MESSAGE_INFO, GTK_BUTTONS_OK, text );
    gtk_window_set_title(GTK_WINDOW(dialog), caption);
    gint result = gtk_dialog_run(GTK_DIALOG(dialog));
    gtk_widget_destroy( GTK_WIDGET(dialog) );
    if (type & MB_YESNO)
    {
        switch (result)
        {
        default:
        case GTK_RESPONSE_DELETE_EVENT:
        case GTK_RESPONSE_NO:
            return IDNO;
        case GTK_RESPONSE_YES:
            return IDYES;
        }
        return IDOK;
    } 
}
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