Such dialog displayed as not modal.
Code:
Ext.Msg.show({
    title: 'Ajax Error',
    msg: 'Error occured while fetching user data from server.
Press Retry for another try or Abort to cancel.',
    modal: true,
    buttons: {
        yes: 'Retry',
        cancel: 'Abort'
    }
});
IE6 and FF2. Using jQuery adapter. Thanks.