There's an article on the MVPs site,
http://www.word.mvps.org/FAQs/Userforms/CreateAUserForm.htm, but it
includes a bunch of things you don't need for this job. So let's
simplify...

1. In the VBA editor, select your template in the Project pane on the
left and click Insert > Userform. This puts the empty dialog box and a
toolbox in the main window.

2. In the Properties pane (press F4 to show it if necessary), change
the name from UserForm1 to something meaningful. I like to use the
prefix frm for this, so I might call it frmCustomMsg. Also change the
Caption property, which is what appears in the userform's title bar.
Drag the edges of the userform to the shape that will hold the
buttons.

3. If you want some text above the buttons, click the Label item in
the toolbox and then drag a rectangle on the surface of the userform.
Fill in the Text property in the Properties pane.

4. Click the Command Button item on the toolbox and click in the
userform to insert one. Repeat twice more. (Shortcut: double-click the
toolbox item to make it "sticky", then click three times on the
userform to insert three buttons.)

5. Drag the buttons to align them, or select them all and use the
Format > Align and Format > Horizontal Spacing commands.

6. Select the first button. Change its name in the Properties dialog
to something like cmdRandom, and change its Caption property to what
you want the button to say. Repeat for the other two buttons. Also,
when the Cancel button is selected, change its Cancel property to
True, which makes it respond to the Esc key.

7. Click View > Code (or press F7) to open the code pane associated
with the userform.

8. At the top of the window, declare a variable:
      Public ReturnValue As Integer
This is a property of the userform that a macro can read from outside.
The buttons are going to set the value of the variable.

9. Pull down the dropdown that says "(General)" and select one of the
button names. This creates a function that gets called when that
button is clicked (note the "_Click" in the function's name). Repeat
for the other two buttons.

10. Type in code in each function so they look like this (the function
names may be different, depending on what you named the buttons):

   Private Sub cmdCancel_Click()
       ReturnValue = 0
       Me.Hide
   End Sub
   
   Private Sub cmdRandom_Click()
       ReturnValue = 1
       Me.Hide
   End Sub
   
   Private Sub cmdAlternate_Click()
       ReturnValue = 2
       Me.Hide
   End Sub

Each of these sets a unique value of ReturnValue and then hides the
userform. When the userform hides, control returns to the macro that
called the userform.

11. In your original coloring macro, remove the MsgBox handling code.
Replace it with this:

   Dim UFrm As frmCustomMsg
   Dim iOption As Integer
   
   Set UFrm = New frmCustomMsg
   With UFrm
       .ReturnValue = 0
       .Show
       iOption = .ReturnValue
   End With
   
   ' remove userform from memory
   Set UFrm = Nothing

You can now use iOption as you did in your previous version.

Technical details: The first 10 steps create the definition of
frmCustomMsg, which is a "pattern" for a userform. Strictly speaking
it's a user-defined data type. The "Dim UFrm As frmCustomMsg" line
declares UFrm to be a specific object variable of that type, and the
Set UFrm line makes an actual object and assigns it to the UFrm
variable.

Within the object, there's an integer property UFrm.ReturnValue, to
which you assign the value 0. Then you call the .Show method of the
userform, which causes it to appear on the screen. It sits there until
the user clicks a button. At that time, the one  _Click function
belonging to that button gets called (the other two functions don't
get a chance to execute). Inside the _Click function, a value is
assigned to UFrm.ReturnValue, and then the userform's .Hide method is
called.

The .Hide method removes the userform from the screen and returns
control to the macro on the line after .Show. That line grabs the
value from UFrm.ReturnValue and stuffs it into iOption. Finally, you
set UFrm to Nothing (a special value that means "no longer defined"),
which causes the memory used by the userform to be returned to the
pool of available memory.

--
Regards,
Jay Freedman
Microsoft Word MVP        FAQ: http://word.mvps.org
Email cannot be acknowledged; please post all follow-ups to the
newsgroup so all may benefit.