If your site is brand new or only attracts very few hits, you will most likely be met with "We don't have enough data to display the traffic metrics for [your.com]". That is OK. We all begin in a no-where land some would call nonexistence before we are found. Metrics is used here of course as part of the subject of Web Metrics.
So do not worry if your site does not appear on alexa right now. It will occur in due course, and we can give the process a little nudge by installing their free widget and toolbar to assist or improve our alexa ranking.
Alexa Traffic Rank Widget
The above image is not current. View our home page for our current alexa rating according to this widget. They come in various shapes and sizes if you intend to place one on your site. The link to get yours is in the section below.
The alexa website purports that their stats come from Alexa Toolbar Users, so if you want to get your site listed on this website sooner, then you should install this Alexa Toolbar and visit your site periodically (ask some friends to do this for you too) which will help the compilation of information to display.
The more people that surf the internet with the alexa toolbar active, the more precise the alexa rankings will be. As we like the alexa page to help us with our seo work, we should encourage users who are happy to share their online travels to install this toolbar and thank them for their participation.
Also, you could add a widget that will come alive when you do get listed. Whether you do or do not do this, is not important. What is important is that over the coming months, and as your SEO skills improve, you will see your site appear and begin it's climb toward the #1 position on the alexa website. We feature a widget on our home page.