The short answer is: you can't. The property grid does not support modifying this.

However, if you feel in a hacky mood, here is some sample code that demonstrates how to play with this dialog box. Of course, use all this at your own risk.

How to use this utility class:

propertyGrid1.Site = new MySite(propertyGrid1);
propertyGrid1.SelectedObject = MyObj;

The utility class code:

public class MySite : ISite, IUIService
{
    public MySite(PropertyGrid propertyGrid)
    {
        PropertyGrid = propertyGrid;
    }

    public object GetService(Type serviceType)
    {
        if (serviceType == typeof(IUIService))
            return this;

        return null;
    }

    // this is part of IUIService
    public DialogResult ShowDialog(Form form)
    {
        // Check the form passed here is the error dialog box.
        // It's type name should be GridErrorDlg.
        // You can also scan all controls and for example
        // remove or modify some buttons...
        DialogResult result = form.ShowDialog(PropertyGrid);
        if (form.GetType().Name == "GridErrorDlg" && result == DialogResult.OK)
        {
            PropertyGrid.Refresh();
        }
        return result;
    }

    public PropertyGrid PropertyGrid { get; private set; }
    public bool DesignMode { get { return false; } }
    public IContainer Container { get { return null; } }
    public bool CanShowComponentEditor(object component) { return false; }

    // I've left the rest as not implemented, but make sure the whole thing works in your context...
    public IComponent Component
    {
        get { throw new NotImplementedException(); }
    }

    public string Name
    {
        get
        {
            throw new NotImplementedException();
        }
        set
        {
            throw new NotImplementedException();
        }
    }

    public IWin32Window GetDialogOwnerWindow()
    {
        throw new NotImplementedException();
    }

    public void SetUIDirty()
    {
        throw new NotImplementedException();
    }

    public bool ShowComponentEditor(object component, IWin32Window parent)
    {
        throw new NotImplementedException();
    }

    public void ShowError(Exception ex, string message)
    {
        throw new NotImplementedException();
    }

    public void ShowError(Exception ex)
    {
        throw new NotImplementedException();
    }

    public void ShowError(string message)
    {
        throw new NotImplementedException();
    }

    public DialogResult ShowMessage(string message, string caption, MessageBoxButtons buttons)
    {
        throw new NotImplementedException();
    }

    public void ShowMessage(string message, string caption)
    {
        throw new NotImplementedException();
    }

    public void ShowMessage(string message)
    {
        throw new NotImplementedException();
    }

    public bool ShowToolWindow(Guid toolWindow)
    {
        throw new NotImplementedException();
    }

    public System.Collections.IDictionary Styles
    {
        get { throw new NotImplementedException(); }
    }
}