As a user I always found that alert annoying but useful. But when it comes to user satisfaction... "the user is always wright" so out of habit and the desire not to make him learn more stuff to use the program, the link you provided could be the best solution. That way it keeps the same principle while making it actually even more pleasant.

jQuery would help a lot in developing the AJAX GUI for phpMyAdmin and it is what I would use. I could also write the AJAX myself

Thanks and cheers :)