Firstly, ask yourself why you would want to? There is no benefit to it!.
However, if you insist on improving it, the only way to do so is to get more traffic to your site from those who have the Alexa tool bar installed in their internet browsers. There are a number of other claimed ways such as installing the Alexa widget, but none of those other ways actually work, as it all depends on traffic from those with the tool bar installed.
There are 3 way to get more traffic from those who have the Alexa tool bar installed:
1. Just improve the site, get more backlinks and do more basic SEO. As more traffic comes, a small percent of that increased traffic will have the Alexa tool bar installed and that will boost your Alexa ranking.
2. Install the tool bar in your browser and visit your site several times a day. Better yet, get a few friends to do the same thing. This will improve your Alexa ranking, but this also shows how easy it is to manipulate the ranking.
3. Use a paid Alexa improvement ranking service. This will usually work well in the short term, but you need to keep it up if you want to maintain the ranking.