How do I: Show a MessageBox while trying to connect to server?

Question

Hello:
 
How do I show a MessageBox with out having the "OK". Reason is I want to display "Connecting To Server, Please Wait...", while the server connection is being attempted, then when its done, have it close.
 
If I have a good connection its immediate, but if the connection string is bad it waiting like 10-20 seconds. I don't want it sitting there without informing the user.
 
All i can think of is to display a little form with the message and then close it when the connection attempt is done. Is this the only way?