In Eclipse IDE, I see many message dialogs giving instruction about opening a wizard or the preference page. Giving such instructions to user is nice, but in many cases, it would be even better to allow user to perform such operations in one click. For example a message dialog with "configure proxy" would have a link to immediately open the proxy settings page.
Those message dialog should also allow selectionListeners for those links.
If MessageDialog provide links by default, it will encourage consumers to take advantage of them, and to be more helpful to their users.