A title bar, just like any other window; usually contains the name of the program or something like "Error" or "Warning". Unlike a normal window, dialog boxes are usually "modal" (meaning you can't switch from it; it just beeps in your face instead) and don't have the small icon in the top left.
The title bar also has a close button, though it is almost always grayed out.
A "body" that is basically the core of the dialog box; it contains text, controls (buttons, check boxes, drop-downs, etc.), and sometimes icons pictures,
Several buttons along the bottom. These buttons are so common that they're almost standardized. These usually come in groups, like [OK]-[Cancel], [Yes]-[No], [<Back]-[Next>], [Abort]-[Retry]-[Ignore], etc.