RadWindowManager's dialogs - radaler, radprompt, radconfirm and the popups opened with radopen automatically take the z-Index of the RadWindowManager. Its value is set to 3001 by default but you could modify it by using the style attribute (style="z-index:4000;"). If you want to set a different z-Index to the radalert popup however, you need to access the element directly.
All the best,
the Telerik team