This cannot be done with the native javascript dialog box, but a lot of javascript libraries include more flexible dialogs. You can use something like jQuery UI's dialog box for this.
See also these very similar questions:
Here's an example, as demonstrated in this jsFiddle:
<html><head>
<script type="text/javascript" src="http://code.jquery.com/jquery-1.7.1.js"></script>
<script type="text/javascript" src="http://ajax.googleapis.com/ajax/libs/jqueryui/1.8.16/jquery-ui.js"></script>
<link rel="stylesheet" type="text/css" href="/css/normalize.css">
<link rel="stylesheet" type="text/css" href="/css/result-light.css">
<link rel="stylesheet" type="text/css" href="http://ajax.googleapis.com/ajax/libs/jqueryui/1.8.17/themes/base/jquery-ui.css">
</head>
<body>
<a class="checked" href="http://www.google.com">Click here</a>
<script type="text/javascript">
$(function() {
$('.checked').click(function(e) {
e.preventDefault();
var dialog = $('<p>Are you sure?</p>').dialog({
buttons: {
"Yes": function() {alert('you chose yes');},
"No": function() {alert('you chose no');},
"Cancel": function() {
alert('you chose cancel');
dialog.dialog('close');
}
}
});
});
});
</script>
</body><html>