Which "warnings" are issued when a military aircraft is going to enter foreign airspace?
This depends on the rules of engagement for a country and how the intercepting aircraft are instructed to act. 

Radio Contact

The intercepting aircraft will try to establish radio contact on the distress frequencies available. 121.500 MHz or for NATO aircraft 243.000 MHz. 

Visual Contact

Unless there is an imminent threat, the intercepting aircraft can position next to the intruding aircraft and establish visual contact with the pilots. There is also standardized procedures, such as the infamous rocking of wings.


(Image Source: www.cfinotebook.net)

Flares

Unless at high altitude, ground based units can shoot flares to attract attention and inform aircraft that they are entering prohibited or restricted airspace.