To show a message box:  Use the "Data Validation" button on the properties
dialog box of the date picker to add a validation rule that says something
like:

datefield does not match pattern custom pattern 0000-00-00

and select alert type "Dialog box alert (show alert immediately)". The
custom pattern must be entered as \d\d\d\d-\d\d-\d\d in the Data Entry
Pattern dialog box.

To clear the field when an invalid date has been entered, add a rule on the
date picker with an Action that says:

Set a field's value: . = ""

with a Condition on this rule that says:

datefield does not match pattern custom pattern 0000-00-00

Note: Users will be forced to enter dates in the format yyyy-mm-dd (e.g.
2001-03-21, which is March 21, 2001).

For more information see
http://office.microsoft.com/en-us/infopath/HP010972021033.aspx?pid=CH01109705103
http://office.microsoft.com/en-us/infopath/HP010967511033.aspx?pid=CH01109705103
http://office.microsoft.com/en-us/infopath/HP011002671033.aspx?pid=CH011097041033
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S.Y.M. Wong-A-Ton