Excel 2010 VBA disabling Enter key on message box

I've noticed that the following code will disable the Enter keys in Excel, but not in a message box. So if I presented a user with a message box and a choice of Yes or No, I can't prevent them from hitting Enter to choose the default button. Why is that?

Application.OnKey "~", "" 
Application.OnKey "{Enter}", ""
RonBudget AnalystAsked:
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Martin LissOlder than dirtCommented:
Do you want to make "No" the default?
Martin LissOlder than dirtCommented:
If so

MsgBox "Your message", vbYesNo + vbDefaultButton2
RonBudget AnalystAuthor Commented:
I did that. What I don't understand is why Application.OnKey doesn't apply to message boxes. So it will disable the Enter key in the application, but not in the message box
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Martin LissOlder than dirtCommented:
Most likely because a MsgBox is modal and so other code can't run while the MsgBox is open. A userform that looks like a MsgBox could be substituted and probably the OnKey code could be used there. Are you interested in something like that?
Martin LissOlder than dirtCommented:
For the sake of the challenge I went ahead and created the attached.

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Martin LissOlder than dirtCommented:
I'm glad I was able to help.

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