You have 2 options: if you want it to pop up and fill the page, you can create a JQM dialog page (even dynamically) and switch to it. JQM dialogs are described in detail here:
http://jquerymobile.com/demos/1.0b1/docs/pages/docs-dialogs.html
It is possible to add a new dialog box to the same page (just add it to the container above the one that has data-role = "page") and switch to it using $ .changePage (...)
Another option, if you want it to pop up on top of existing content (modal mode from the user interface dialog box), this plugin will do this:
http://dev.jtsage.com/jQM-SimpleDialog/
Full disclosure: I wrote the second, so I'm biased. However, it uses a bit of option 1 above, and of course you can split the code to see how it works if you prefer to use your own.
Edit:
Another option is to use the built-in pop-up interface added to the latest major version (I think 1.2.0). It can be found here and is included in the default value:
http://jquerymobile.com/demos/1.2.0/docs/pages/popup/index.html
Jtsage
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