It's possible that the building up of the radalert object is happening too late in IE 8. Since ASP.NET AJAX components use possibly a different lifecycle, you could also try (at least to eliminate whether what I'm saying is the actual problem):
Sys.Application.add_load(function(sender, e) {
var oWnd = radalert('" + dialogMessage + "', 400, 140, 'Saved');
window.setTimeout(function () { oWnd.Close(); }, 3000);}
});
You should be able to render this from the server and it function the same.