Dialog boxes are generally modal. That means they need to be acted on and dismissed by the user. Some are scriptable and others are not. Your operating system will determine whether modality extends across the whole system or just to the application. If modality is system-wide you won't be able to switch applications while a modal dialog is on display.
Here are a few that you might encounter routinely when scripting:
One that you cannot script is the secure login panel presented to allow you to authenticate your access to a secure web page. That is controlled by the server, and your browser should not provide any script-driven interface to it.