To create a prompt using wxPython, you first need to import the wx module. Then, you can create a new instance of the wx.MessageDialog class, passing in the parent window, message text, caption, and style parameters as arguments. Finally, you can call the ShowModal() method on the dialog instance to display the prompt to the user. Remember to handle the user's response appropriately based on the button they clicked (such as OK, Cancel, Yes, No, etc.