From the APIDocs:
show(text:String = "", title:String = "", flags:uint = 0x4, parent:Sprite = null, closeHandler:Function = null, iconClass:Class = null, defaultButtonFlag:uint = 0x4):Alert
[static] Static method that pops up the Alert control.
In a regular Alert.show call this means you can specify the last argument as Alert.YES to make it the default selection. With a custom component, you can call setFocus() on the particular element within your custom Alert component that you want to select (i.e.: in call setFocus() within the custom Alert component's creationComplete event).
So a sample implementation of a YES/NO Alert box would be (split code over two lines to avoid scroll bars):
Alert.show("sample text","sample title",
Alert.YES|Alert.NO,null,null,null,Alert.YES);
Hope this helps.