How to create a dialogue box and display it when an object in clicked in unity 3d ?

Im not sure what you mean by 'object'. Do you mean a 3d object like a collider in the game world, or a GUI button?

But here

 //JS only if you click a physical object
     var clicked = false;
     function Update()
     {
     var hit : RaycastHit;
     var ray : Ray = Camera.main.ScreenPointToRay(Input.mousePosition);
 if (Input.GetMouseButtonDown(0))
 {
     if (Physics.Raycast(ray,hit,100))
     {
     //this is the nane of the object you want to click
     if(hit.transform.name == "my object")
     {
     clicked = true;
     }
     }
 }
     function OnGUI()
     {
     if (clicked)
     {
     if (GUI.Button(Rect(10,10,30,60),"Yes"))
     {
     //do stuff
     }
     if (GUI(Rect(50,10,30,60),"No"))
     {
     //do stuff
     }
     }
     }
     }