Thanks very much for the heads up on XMessage, that did the trick
If anybody is interested, here is what I did :
Created a script called REBOOT_Script.sh - containing the following
xmessage -center " Are you sure you want to Reboot?" -buttons YES:1,NO:2
if [ $ANS -eq 1 ]
I execute this script from the RIGHT Click menu on the mwm desktop by adding the REBOOT option to the /usr/X11R6/lib/X11/system.mwmrc file and doing an f exec on the REBOOT_Script.sh.
Hope this info helps someone else.
Thanks Again Tink !!