echo "<script>
alert('There are no fields to generate a report');
window.location.href='admin/ahm/panel';
</script>";

and get rid of redirect line below.

You were mixing up two different worlds.

You're missing semi-colons after your javascript lines. Also, window.location should have .href or .replace etc to redirect - See this post for more information.

echo '<script type="text/javascript">'; 
echo 'alert("review your answer");'; 
echo 'window.location.href = "index.php";';
echo '</script>';

For clarity, try leaving PHP tags for this:

?>
<script type="text/javascript">
alert("review your answer");
window.location.href = "index.php";
</script>
<?php

NOTE: semi colons on seperate lines are optional, but encouraged - however as in the comments below, PHP won't break lines in the first example here but will in the second, so semi-colons are required in the first example.

Do something like

header("Location: index.php?Message=" . urlencode($Message));

Then on index.php...

if (isset($_GET['Message'])) {
    print $_GET['Message'];
}

In other words, index.php will always check if it's being passed a message in the url. If there is one, display it. Then, just pass the message in the redirect

if you really want to use a modal popup, generate the js...

if (isset($_GET['Message'])) {
    print '<script type="text/javascript">alert("' . $_GET['Message'] . '");</script>';
}

Note that this will break if you use quotes in the message unless you escape them

Alert will block the program flow so you can just write the following.

echo ("<script LANGUAGE='JavaScript'>
    window.alert('Succesfully Updated');
    window.location.href='http://someplace.com';
    </script>");

Here is code that does exactely what you want (according to your title):

<script type="text/javascript">alert("Stupid message");history.go(-1);</script>

I don't like this way of working, you'd better to use sessions, or creating one file that displays the form and does the validating.

Using a javascript alert is going to delay the redirect until the user clicks OK. What you probably want to do is display the alert in your index.php when there has been a successful subscription. There are a few different ways of passing this information but the most common way is to pass the success message in the session.

// page1.php

<?php


session_start();
if($conn->query($sql)===TRUE){
            $_SESSION['message'] = "Registration successful";
            header('Location: index.php');
            exit();
}

session_write_close ();
?>

// index.php

<?php

session_start();

if (isset($_SESSION['message'])) {
    $show_message = $_SESSION['message'];
    $_SESSION['message'] = null;
}
session_write_close ();

// ...

if (isset($show_message)) {
echo "<script>alert('{$show_message}');</script>";
}

Other alternatives are to pass the data in the URL such as index.php?message=Registration%20Successful or passing the message in a cookie.