Ok.. you can't do both. Gotta do one or the other. Response.Redirect, if it's in fact doing the redirect (which would be interesting), can usually only be called BEFORE anything is written to the client's browser. Once header information is sent, there's no redirecting. Response.Redirect itself is the response to the browser (such as 200, 404, etc). By sending data to the browser before the response.redirect the browser has to first send a 200 (OK), and now you're stuck, because you can't then send another response to tell the browser to redirect.
So, now you may be wondering what you can do so solve your delema. Look up META refresh. You can force the browser to do a redirect for you, but I'm about to throw another wrench into the machine. While a JavaScript alert() box is active, the page will not redirect. So you'd have to combine the META refresh, with some javascript that pops open a new browser window with your error message.
Format of META refresh:
<META HTTP-EQUIV="refresh" CONTENT="#;URL=<path>">
# = number of seconds to refresh/redirect after
<path> = address you want to refresh/redirect the browser to