messagebox - What properly goes into the "caption" of a message box?

By convention, what is the best practice for the text that goes into the "caption" field of a text box?

The "caption" field is the text that shows up in the title bar:

I have experimented with various things such as the application name, "Error", "Invalid Operation" and the like, but have never come up with anything that is wholly satisfying that I could use consistently.

Is there a "best practice" for this?