The Kong dialog box appears when you make a legal declaration of a melded or concealed Kong on your own turn (the Tile Claimed dialog box is displayed, instead, when you claim a discarded tile for a Kong).
In the case of an illegal declaration, a message box informing about this situation appears, instead.
If you have more than one options to compose a Kong, you are presented with command buttons for each choice you have.
Select Cancel to abort the declaration (since the declaration was never actually made and the game was not interrupted, no penalties are applied).