If you read the iPhone guidelines this seems something you arent supposed to do...
Here is the snippet from the iPhone Hunan Interface Guideline.
http://developer.apple.com/iPhone/li...006556-CH4-SW7
http://developer.apple.com/iPhone/li...06556-CH14-SW5
So IMHO you should avoid this, as you might get your application rejected in the review process. Especially if you are using an Alert box, since its suppose to be used for alerting the user of serious errors.
You should definately read the iPhone HIG.
Fred