using jQuery UI you can use the dialog that offers. More information at http://docs.jquery.com/UI/Dialog
Do you mean just? alert()
function hello_world(){ alert("hello world"); }
If you don't wont use jquery.ui(that is highly recommended), you can take a look at Block.UI plugin.
Try this plugin JQuery UI Message box. He uses jQuery UI Dialog.
Let me to recommend you a jQuery plugin for nice modal alers. It doesn't requires jquery UI.
Demo: http://www.webmasters.by/images/articles/jquery.alerts/index.html
jQuery UI Dialog right here: http://jqueryui.com/demos/dialog/
Source: Stackoverflow.com