If you want an alert, you have to manually add it as it's own calendar event
If you have MobileMe, you can publish your birthday calendar, then subscribe to it... but this won't let you add alerts (the may be Mac only as well... not sure). Importing the birthday calendar as mentioned by a previous poster will not automatically update if you add a new birthday. You will need to export/import everytime. A published calendar auto updates.
It's a bummer, I know. I don't look at my calendar daily and have always wished I had reminders for birthdays.