I'm not familiar with WordPress, but if you are referring to an in-page popup (a window that is not actually its own browser) then it is probably JS, if you mean a box that appears in the page above text or something, you will either need JS or Ajax, and/or PHP.Hmm, have a look at my blog, zeHobbit. Ze little hobbit is looking at you. There's not much on it yet (blog not finalised yet), I've used WordPress and K2 to set the blog up, and make sure to read the about page.
Also, does anyone know how to display an alert message on the homepage? I mean when you publish a post in WordPress there's a yellow box saying 'Published'. Does anyone know how to display a box like that on the front page?