I would like to put a link to a webpage in an alert dialog box so that I can give a more detailed description of how to fix the error that makes the dialog box get created.
alert("There was an error. Got to this page to fix it.\nwww.TheWebPageToFix.com");
That's the best you can do from a JavaScript alert(). Your alternative option is to try and open a new tiny window that looks like a dialog. With IE you can open it modal.