Link in Javascript alert

AFAIK you can't do that with a normal javascript alert box.

Make a custom alert box and then make a link inside it.

Here is a nice one

YUI: Dialog Alert Widget

Also a jQuery based one

jQuery Impromptu

Nope. Only standard OS dialog boxes are available (alert, input, etc.), and none support embedded hyperlinks.

You can could a pop-up window that is styled to look like a dialog, but pop-up windows are likely to have various user blocks, etc. in place.

My advice is to use a an absolutely-positioned DIV with a high z-order centered on your page that looks like a dialog box and put whatever you want in it. Various UI toolkits like JQuery UI take the pain out of this.