What you want is one thing, and what you have is something else. To makes sure this is the way it is, its enough to take a look at the specifications: http://www.w3schools.com/js/js_popup.asp
As you can see, no options; and this is easy to explain: those dialogs in fact run "outside" of the Web page, but as an OS dialog box running as owned by a Web browser. It's appearance depends on OS display settings, not your code.
You can freely download these libraries and use them in your application. See http://docs.jquery.com/UI/Dialog
Naturally, you will be able to style the content of the dialog window by usual means of HTML and CSS the way you want.