hmmm I don't think you can using a standard msgbox
You could, however, make your own userform version of a msgbox, and have a sub procedure that calls it. You could then use any way of representing emboldened text you wish - for example you may wish to pass an optional argument stating the word you wish to be bolded. In your function, you would then have to set a control so that it would bold the supplied text.
Now I come to think of it, I believe you have to have the same typeface applied to all text within one label - though I may be wrong about that. If that is the case, it may not be so trivial to place bold text within standard text on a form