This week's book giveaway is in the OO, Patterns, UML and Refactoring forum. We're giving away four copies of Refactoring for Software Design Smells: Managing Technical Debt and have Girish Suryanarayana, Ganesh Samarthyam & Tushar Sharma on-line! See this thread for details.
You can't utilize HTML formatting when displaying alert boxes. At most, I think you can only utilize simple escape sequences to alter the manner in which the text string is rendered within the alert box. If you really need to customize your alert messages then you can go for some DHTML effects which simulate the behaviour of a modal window. You can find a nice implementation here