I haven't heard of a way that you can take input in a dialog box, but there are several that provide "Yes", "No", "Cancel" functionality.
I think you will want to provide a place within the form that allows you to name the new section. Why can't you just make the "field within the repeating section" editable? If you want to make sure that the users enter a name you could pop a dialog upon the insertion of a new row, or just use data validation that will outline the field in red while it is still blank.
Matt Faus / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge