Check out (pun intended) the Manage Rental Inventory video.
This could apply to what ever item you want to check out.

The problem with trying to control tracking physical files is that employees can just physically take the file and leave, either accidentally or intentionally. Unless you have some crazy technical AI Office that can lock the files away until a message is sent from the database to unlock the file ;).(If so let me know, I want to see LOL)

But depending on how you want to handle it (if you want to require passwords or logging in to check out, this would be more advanced/secure, you would want to checkout Access Security Seminar for that). Otherwise you could just make a simple table with EmployeeName, Filename, TimeIn, TimeOut and just have them fill out the fields in a continous form. There's so many ways you could do this depending on how much you want locked down (not letting employees change times/files/names etc).

As for the messagebox, you would use either a timer event or the on current event (again depending on setup). With something like these Reminder Popup or Reminder Popup Date