I have entered this code in:

<%
    msg = "MY MESSAGE"
    Response.Write("<" & "script>alert('" & msg & "');")
    Response.Write("<" & "/script>")
%>

and i pops an input box up on the screen before the rest of the page loads, But i cannot figure out how to retreive the user's input on that box. Any Ideas?

Are you looking to collection user input instead of just popping up an alert box? If so, you want the javascript "prompt" method instead:

   var strUserValue = prompt("Enter a value");

Please remember however that the result of that user prompt is not available directly back at the server side.

-Peter