Mike,
The classes are declared in
C:\Clarion9\accessory\libsrc\win\NetWeb.inc
So whenever there's a prototype change that you need to know more about you can just look in there. Searching for Setalert reveals;
SetAlert Procedure(String pMessage,Long pWhere=1,String pProcedure),Virtual
So your code becomes
p_web.SetAlert('My Message Goes Here',1,'SomeProcedureName')
Cheers
Bruce