Wouldn't "No" be considered "Cancel" in that situation?

People will want a Cancel button because they don't want to be asked a question at that time, but then they'll want to be able to answer (or change the answer) to the question later; e.g. on an options screen.

It was also partially a joke, remembering one WTF moment I had with Windows Vista (don't know if it still happens):

    +--------------------------+
    |                          |
    |     An error occured!    |
    |                          |
    |  [yes]  [ No ]  [cancel] |
    |                          |
    +--------------------------+

Yes, people forget that Cancel is the answer in the case of "I didn't mean to click the thing that triggered this box".