A warning box will appear when user made a mistake. A prefab of a UI will be created and user will click on the button to close it after reading.
First a script is attached to the prefab canvas

Secondly the button is being setup to activate the function when user clicks

Ensure the GUI is being updated to the prefab

The CloseDialog script using Object.Destroy which contains the following codes
using UnityEngine;
using System.Collections;
public class closeDialog : MonoBehaviour {
public void DestroyThis() {
Object.Destroy (this.gameObject);
//Debug.Log ("Closing this now");
}
}