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Replace
namespace WebApplication1
{
    public partial class JavaScriptPopup : System.Web.UI.Page
    {
        private void PopupMessage(string Message)
        {
            ScriptManager.RegisterStartupScript(this, this.GetType(), "ServerMessage", "javascript:alert('" +
                Message + "');", true);
        }
        protected void Page_Load(object sender, EventArgs e)
        {
            PopupMessage("first line \\n second line");
        }
    }
}

With

namespace WebApplication1
{
    public partial class JavaScriptPopup : System.Web.UI.Page
    {
        private void PopupMessage(string Message)
        {
            ScriptManager.RegisterStartupScript(this, this.GetType(), "ServerMessage", "javascript:alert('" +
                Message + "');", true);
        }
        protected void Page_Load(object sender, EventArgs e)
        {
            PopupMessage("first line \\n second line");
        }
    }
}