I reworked your original code in this fashion:

use strict;
use warnings;


use Tk;            
use Tk::DialogBox;
my $mw = MainWindow->new;

my $dialog = $mw->DialogBox (
    -title => "Please pick one of the three",
        -buttons => ["One", "Two", "Three"]);

my $item = $dialog->Show();                
print "Returned from the show, got $item\n";
[download]

This runs in the same fashion as your original code sans the one print statement. After scrutinizing the Tk and Tk::Dialog docs on CPAN, I believe I have the answer here.

From the docs for Tk::Dialog: "A Dialog object essentially consists of two subwidgets: a Label widget for the bitmap and a Label wigdet for the text of the dialog. If required, you can invoke the `configure' method to change any characteristic of these subwidgets."

You'll notice that the "silly box" that you refer to contains whatever you named this script in the title bar and the rest is blank. I believe that the "silly box" is in fact the Label widget for the bitmap. If so, then there is no way to not display that and display a dialog box using the Tk::Dialog module.

If someone shows that my surmise is incorrect, I'll be happy to retract this.

Update 5-05-06: Fixed a typo in the fifth line of code; I had "tmy" instead of "my".