If you want to put the error message in a MessageBox you would need something like
ID3D10Blob* pErrorBlob = NULL;
if (FAILED(D3DX11CompileFromFile("Effects.fx", 0, 0, "VS", "vs_4_0", 0, 0, 0, &VS_Buffer, &pErrorBlob, 0)))
{
char* pErrors_mb = static_cast<char*>(pErrorBlob->GetBufferPointer());
wchar_t pErrors_w[512];
mbstowcs(pErrors_w, pErrors_mb, 512);
MessageBox(NULL, pErrors_w, L"Error", MB_OK);
return 0;
}
edit: On a sidenote, MSDN recommends precompiling any shader code (for example by using fxc.exe) rather than using this function.