Creating

There is no point creating a dialog box that does exactly the same as one of the applications standard built-in dialog boxes
To create a new userform (Insert > Userform) or right mouse click in the Project Window and press ( ?? )
A userform can have horizontal and vertical gridlines to help you align your controls
All forms are based on the Userform object
Userforms are actually classes so you can include Lets and Gets.
You can also include private variables to a form (just like classes).

Initialising

Private Sub UserForm_Initialize() 

End Sub

Userform Code Module

Me Keyword

Passing In Arguments

It is possible to pass information to a userform however you cannot use the Userform_Initalise event.
The Userform_Initailize event does not allow arguments to be passed to it.
There are a number of different ways you can work around this.
Which one you use will depend if you want to use the argument in the Initialise event.

Used in the Initialise - Global Variable

Global variable

Public DisplayUserForm() 
Dim oMyForm As UserForm1 
   Set oMyForm = New UserForm1 
   oMyForm.g_sCaptionTitle = "myvalue" 
   oMyForm.Show 
End Sub 

Public g_sCaptionTitle As String

Used after Initialise - Userform Property

Creating a userform property is the best approach because it means that your code is self-contained (encapsulation principles)

Public DisplayUserForm() 
Dim oMyForm As UserForm1 
   Set oMyForm = New UserForm1 
   oMyForm.Property_CaptionTitle = "some text" 
   oMyForm.Show 
End Sub 

Private m_sCaptionTitle As String 
Property Let Property_CaptionTitle(ByVal sValue As String) 
   m_sCaptionTitle = sValue 
End Property 
Property Get Property_CaptionTitle() As String 
   Property_CaptionTitle = m_sCaptionTitle 
End Property

Alternatives

Using Tag property