Use Web Application on Intranet with UserInteractive mode = true

Correction: Application was built with Visual Web Developer Express, but I have VisualStudio2008 Pro available.

You can't use msgbox with a web application, are you trying to do this from code-behind ?
An alternative way to do it would be with javascript.

Seems like there should be a setting to allow a web app access to local win32 stuff if on a trusted internet.  I thought that is what the userinteractive setting was all about.

Anyway, there are many msgbox used for branching vb code behind like

        If rs.Tables(0).Rows.Count > 0 Then
            If MsgBox("Invoice " & strInvoice & " was paid on " & rs.Tables(0).Rows(0)("DatePaid").ToString() & vbCrLf & "Would you like to create a new Invoice?", MsgBoxStyle.YesNo, "Invoice Already Paid") = MsgBoxResult.Yes Then
                ss = objInfo.GetNewInvoice(CType(strInvoice, Integer), strConn)
                If rs.Tables(0).Rows.Count > 0 Then
                    strInvoice = ss.Tables(0).Rows(0)("Invoice").ToString()
                Else

I'm not sure how I would even do that in javascript -- I would have to pass stored proc results to the alert() and get a "yes/no" back to the vb.

of course when I said "... on a trusted internet" I meant Intranet -- on same subnet as IIS.

It is not available in a web app as technically web apps don't have an interactive gui. You present the user a form, they fill in the data and post it to the server. The only way to add some interactivity is to use javascript. The way you are coding is how you would code for a windows forms app. Programming a web application is very different.

Is the code shown above in one of your Page events or as the result of a button click ?

Page load event.