>>See also
>>
>>http://jqueryui.com/dialog/
>>
>>http://jqueryui.com/dialog/#modal-message
>
>Actually, in our application it shows up with the title "Message from Website"

Yes, this is what I am also seeing when I use alert function or confirm (I never used prompt, I think - learnt something new). Craig's link is interesting and looks like there are free stuff there which includes dialogs. I may look into this soon myself.