Well there are three dialog boxes that Javascript provides these are; alert() which displays a message and an OK button, confirm() which provides a message along with OK and cancel buttons and returns true if OK is pressed and false if cancel is pressed, and finally prompt() which provides a text input box and an OK button and returns the text that is entered. For yours I think you need to create your own custom dialog box.
Well you cant build an actual dialog box since those are created by the browser (which is why they look different depending on which browser you are running). So what you can do is to build something into your web page that achieves the same result.
This web page help you create a desired modal dialog box;
http://download.oracle.com/javase/tutorial/uiswing/components/dialog.html#button[
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