Basically I want to do a simple alert window using RadMenu. When a button is clicked, some checks are made on server and then if they fail I want to display a RadWindow with a message. I can't find a solution. Any help is appreciated!
The KB article Shinu provided is the one which explains exactly how to achieve what you need. Note, however, that it demonstrates a few different scenarios and it is important to determine which one is the one which meets your scenario in order to correctly execute the script from the server (especially in ajax scenarios).
I also recommend to examine the following blog post which concerns the same topic: