Giving Userform Exact Functionality Of Msgbox

I am currently using a bunch of msgboxes to tell the user if a specific error has occurred. I want to get rid of the ugly gray box and customize my own. I am having problems setting up the code as I would like it to function like msgbox does where I can supply a header and message string and then it displays in the userform. I tried coding it kind of how I would pass variables to a function and it doesn't seem to work.

Userform:

Code:
Private Sub userform_initialize(msg As String, hdr As String)
MessageBox.Caption = msg
myMessageBox.Caption = hdr
End Sub

Sub:

Code:
Call myMessageBox("Hi", "hi")