You can output a javascript snippet (for example alert window) from
server-side code with Page.ClientScript.RegisterXXX methods or if you're
using ASP.NET Ajax, with ScriptManager's RegisterXXX methods
(XXX=StartupScript / ClientScriptBlock). That's if you need to initiate it
from server-side.
You can also show something with DIVs / SPAN's when you have a lot more
control over the styles etc. Certainly there's also popup windows, but they
are not very friendly for users using popup blockers (quite many don't like
them at all).