You can't, the format is built into the application (the box is actually
generated by the browser, when it sees the "alert=" code. It is a standard
windows O/S box, not really to do with Frontpage at all.
You could make a popup window using the Spawn @
www.jimcoaddins.com and
customise that to the size, colour and style you want. Of course it will
look like a browser window, rather than an alert/error box. But you'd have
pretty much control over it.
Remember all the settings for error boxes are changed in the Windows OS
(under Rightclick Desktop > Display >Properties > Appearance).
Exactly in what situation are you wanting to use the alert/error box? i.e.
part of the form validation, or just in some other way?