A pretty vague question. But still here's I think what you can do.
I'm pretty sure you want to show this message after actually saving the data...:) If you are saving the data asynchronously using jquery or .Net Page methods...you can write your code at the end of success method.
You can use jquery dialog for showing the message. It's pretty easy to implement also.
<asp:button id="btn" runat="server" text="Javascript Click" onclientclick="javascript:SaveData(a);" xmlns:asp="#unknown" />
<script>
function SaveData(a){
if (typeof a !== "undefined"){
PageMethods.SaveData(a,savesuccess,savefailed);
}
}
function savesuccess(){
alert('Data Saved');
}
function savefailed(){
alert('Save Failed');
}
</script>
If this is not what you are looking perhaps changing the question would help. :)