Yeah, right click on the name tab of the sheet that you want the messagebox to appear on when "A1" is selected, choose "View Code" and stick in this code:
<pre>
Private Sub Worksheet_SelectionChange(ByVal Target As Range)
If Target.Count > 1 Then Exit Sub
If Target = Me.Range("A1") Then
MsgBox "Hi"
End If
End Sub</pre>
As for getting the messagebox to appear right next to the cell, that isn't going to happen. A comment is probably going to be your best bet. (there's another text box thingy, but I can't remember how to insert that)