How can I find alert-type dialogs that prevent other windows of the same application to be focussed?
In Expose, look for the alert window separate from the other applications, separate from finder. 

If that doesn't work, hold command and tap tab until Finder is highlighted, release command. In Finder, swipe up with 4 fingers for Mission Control, or 4 finger swipe down for App Expose (if this isn't enabled, select trackpad in system preferences and under the more options tab, select App Expose and Mission Control. Then repeat these steps. Select alert window. 

I've had that problem, Mission Control and Expose should solve. If the alert doesn't show, it may be in another screen. control arrow or use mission control to get to other screen and repeat above steps. Good luck!