Thank for your help!!
I tried but it keeps failling. Maybe this is because I want this to be automatic. I don't know.
I have "number" which is increase when the user make error.
This creates a number of dialog boxes with the names : dlgname1, dlgname2, .... This works. (with the name as parameter)
But as soon as I remove dlgname.close() from comment the second dialog box won't show.... That's where is it blocking.
I can't display the new when the first is closed....
the if(number>1) is supposed to closed the previous dlg box before creating a new one..... (I know this is bad programming, this is just for me to
figure out why this doesn't work)
I can't leave it this way because it create the x times the same dialog box.... 
the close, show commands are probably not used properly....
number.toString();
var dlgname = "dlgname"+number;
number++ if (number >1) {
number = number*1;
nom = number-2
nom.toString();
var test = "dlgname"+nom;
alert(test) //dlgname.close() }
var dlgname = new Window('dialog',dlgname, [100,100,470,400],{closeButton:true}); // Window of the Interface // Panel of the current values
dlgname.msgPnl = dlgname.add('panel',[25,15,355,215],'Parameters');
....// Display of the panel
dlgname.center();
dlgname.show();