There are limitations as to what can be replayed through Selenium IDE. It is not possible with IDE because the popup is not a html object and will not have any locator. It is an ActiveX object. I would suggest you try Selenium Webdriver.
Don't bother building tests using Selenium IDE, even though the Selenese script recorded by Selenium IDE can be converted to a webdriver script, you will loose chance of building modular tests if you do so. If application changes in future, you will have to modify all your tests independently.
Your best bet is to use Selenium Webdriver with C#(or Java) and also use some test framework like NUnit(or JUnit), so that non developers can run the tests using NUnit GUI using simple interface, that is the best approach I found so far. Following code is an example of how you can do it with selenium webdriver.
if(driver.switchTo().alert() != null) {
Alert alert = driver.switchTo().alert();
alert.accept(); // alternatively alert.dismiss();
}
assertFoo(pattern)
function. "