If you mean by showing a message that you want to alert an message (javascript alert function), you can do this as next (inside your selectedIndexChanged eventhandler)
Code:
// if the dropdownlist is on a normal page
Page.ClientScript.RegisterClientScriptBlock(Page.GetType(), "message_script", "alert('You selected option A');", true);
//if the page is on an UpdatePanel
ScriptManager.RegisterClientScriptBlock(Page, Page.GetType(), "message_script", "alert('You selected option A');", true);
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