How to create a Information Box

You actually have 2 ways of doing this. either directly through the registy or via Group Policy.

The registry settings you are looking for are located in:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\Current Version\Winlogon. The specific keys are "LegalNoticeCaption" which provides the title for your info box, and "LegalNoticeText" which shows the contents of the info box.

The Group Policy route is a little bit easier (and safer) as it doesn't require direct manipulation of the Registry (with the attendant hazards). This can be set either at the domain level or at the local level. The settings are found at Security Settings\Local Policies\ Security options and are titled "Message text for users attempting to log on" and "Message title for users attempting to log on."

Although the Group Policy route changes a completely different registry setting than the one mentioned above, the net result is exactly the same.

Hope this is what you are looking for.