Not sure if I really understand the use case but below is what I am assuming.
- I have one primary form. On that primary form I have a button. When I click on that button it opens another dialog form and in this dialog form I have a menu field.
- In the menu field , I click on drop down and will select an option and it display a message.
- I read the message and click on OK.
- Now, your requirement is, as you click on OK it will close the message window plus Dialog form window and takes you to the primary form?
If above is your requirement then try to use 'commit changes' as action 1 and 'Close window' as action 2 in your active link and check the result.