This is the infamous "Alert" window that appears for you to only click "Okay".  It can be annoying, but other times it becomes useful to alert people of things on the webpage that is loading.  There are variations of this script that really annoy people.  Let's not promote that though...

<script LANGUAGE="Javascript">
alert ("your text goes here between the parenthesis")
</script>

It is best to place this tag directly above the header closing tag (</head>).  Basically, wherever you place it is when the browser reads it.  So, if it is within the header tag, then your browser will initiate it before the page loads.  Use you your own judgment though.  After all, you are the creative one!