Whenever I create a prompt, I see this at the top: "The page at [the URL] says:".

Am I able to change this or do I, as I was told to use for something else, have to use jQuery dialogs?

There are no jQuery dialogs [except DIV's emulating dialogs] and no you can't modify the builtin browser prompt default title.

There are no jQuery dialogs [except DIV's emulating dialogs] and no you can't modify the builtin browser prompt default title.

Sorry, that's what I meant. Alright. I figured as much. Thanks.

Since prompt is a modal popup dialog you can however use a similar custom modal as in this confirm example.
Of course some good skills on styling and scripting will be immanent.