As simple as it sounds, a dialog is nothing but a standard page styled differently: the jQuery Mobile documentation points out that "the framework adds styles to add rounded corners, margins around the page and a dark background to make the dialog appear to be suspended above the page".
To create a dialog, we just have to specify the data-rel="dialog"
attribute in the link, pretty much like the following example:
<a href="dialog.html" data-rel="dialog">Dialog!</a>
As dialogs are standard pages, the default slide transition (or whatever you changed it to) will be used, unless we do not specify otherwise:
<a href="dialog.html" data-rel="dialog" data-transition="pop">Dialog!</a>
Usually, the pop transition is used as the standard dialog transition due to the animation, which looks like a new window is, well, popping up.