An example featuring the Retry and Cancel buttons, together with a critical warning icon, is shown in Figure.

The corresponding code is:
Sub MsgBoxRetryCancel()
If MsgBox("An error occurred while saving the file." & vbCrLf & _
"Do you want to try again?" & vbCrLf & _
"Do you want to cancel the operation?", _
vbRetryCancel Or vbCritical, _
"Save Error") = vbRetry Then
MsgBox "You chose to try again"
Else
MsgBox "You chose to cancel the operation"
End If
End Sub
Explanation:
The Retry and Cancel buttons are combined with an icon that visually signals a critical warning.