msg = QMessageBox()
msg.setIcon(QMessageBox.Information)
msg.setText("This is a message box")
msg.setInformativeText("This is additional information")
msg.setWindowTitle("MessageBox demo")
msg.setDetailedText("The details are as follows:")

msg.setStandardButtons(QMessageBox.Ok | QMessageBox.Cancel)

msg.buttonClicked.connect(msgbtn)

import sys
from PyQt5.QtCore import *
from PyQt5.QtGui import *
from PyQt5.QtWidgets import *

def window():
   app = QApplication(sys.argv)
   w = QWidget()
   b = QPushButton(w)
   b.setText("Show message!")

   b.move(100,50)
   b.clicked.connect(showdialog)
   w.setWindowTitle("PyQt MessageBox demo")
   w.show()
   sys.exit(app.exec_())

def showdialog():
   msg = QMessageBox()
   msg.setIcon(QMessageBox.Information)

   msg.setText("This is a message box")
   msg.setInformativeText("This is additional information")
   msg.setWindowTitle("MessageBox demo")
   msg.setDetailedText("The details are as follows:")
   msg.setStandardButtons(QMessageBox.Ok | QMessageBox.Cancel)
   msg.buttonClicked.connect(msgbtn)

   retval = msg.exec_()

def msgbtn(i):
   print ("Button pressed is:",i.text())

if __name__ == '__main__':
   window()

Button pressed is: OK
Button pressed is: Cancel