diff --git a/src/msw/msgdlg.cpp b/src/msw/msgdlg.cpp
index 9519b0acaf..f45dc0abf2 100644
--- a/src/msw/msgdlg.cpp
+++ b/src/msw/msgdlg.cpp
@@ -460,7 +460,10 @@ int wxMessageDialog::ShowMessageBox()
     const long wxStyle = GetMessageDialogStyle();
     if ( wxStyle & wxYES_NO )
     {
-         msStyle = MB_YESNO;
+        if ( wxStyle & wxCANCEL )
+            msStyle = MB_YESNOCANCEL;
+        else
+            msStyle = MB_YESNO;
 
         if ( wxStyle & wxNO_DEFAULT )
             msStyle |= MB_DEFBUTTON2;