To learn how to work with alerts when a local agent is terminated, please go to the DOCS folder in the current AMT SDK and take a look at the "Agent Presence" sections within the System Defense and Agent Presense Overview and the Network Interface Guide. There is also an Agent Presence sample in the .WindowsIntel_AMTSamplesSoap folder.
After you receive the alert, there is no AMT API for communicating the event in a message box to the Administrator elsewhere on the network. I would recommend looking at your operating system APIs for calls to do that.