I think what you're looking for is in Flash Builder's mx.controls.*
Alert.show("My Alert Message");
Alert.show("My Alert Message"); is different than MMExecute('alert(\"My Alert Message\");');
Give it a try in Adobe Flash Pro and see by yourself !
You're right, that's quite different.
Another alternative is using HostObject:
var jsxInterface:HostObject = HostObject.getRoot(HostObject.extensions);
jsxInterface.eval("alert(\"My Alert Message\")" );
I am using MMExecute, but I saw in the asdoc that prompt, alert and so on already defined in the com.adobe.bridge, maybe it seems idiot but I can't find where is this package