Try this:
You'll have to modify your loop also.. Style will not work in alert box. Try this:
for (int i = 0; i < xDT.Rows.Count; i++)
{
Data += xDT.Rows[i][3].ToString();
}
ScriptManager.RegisterClientScriptBlock(this, this.GetType(), "Dialog", "alert('" + Data + "');", true);
--Amit