Alexa Ranking is based on how many visitors (with Alexa Toolbar installed) visit your site. So the more visitors with Alexa Toolbar visit/view your website, the higher your site's Alexa Ranking.
IMO, you should not be focused on increasing your Alexa Ranking because it's just a number that is not that accurate and those ordinary visitors who are not familiar with Alexa Toolbar can't be counted. Just concentrate more on increasing your keyword rankings and getting referrals from relevant sites as this can bring more benefits to your site.