How can I make a dialog

CMsgDlg : Form

remain visible in FullScreen mode

graphics.IsFullScreen = true;

Re: XNA Game Studio Express Dialog box disappears in XNA Fullscreen mode

Shawn Hargreaves - MSFT

You can't.

When you switch into full screen mode, Direct3D takes over the entire display, and doesn't leave any way for other things like WinForms to draw onto the screen.