This plugin uses alexa.com feed for a given site and grabs the part about its rank. It might be slightly slow since it is contacting alexa.com server.
You can show your site's current Alexa Rank on a specific part of your site. The plugin comes with config, where you can set the url of your site.
Remember to change hooks/tags before installation depending on which .tpl you want to have the quotes displayed.

[ 1 ] 
Extract the file you just downloaded. A folder named "alexarank" will appear.
[ 2 ]
Upload this folder to you server inside the "plugins" directory.
[ 3 ]
Go into the administration panel, go to "Plugins", click on "Alexa Rank" plugin, and select "Install all" from the plugin Options.
[ 4 ]
Find and click "Edit" with the admin tool thing into the plugin's page. Write your site's url in the box, but remember, do not use htpp://
[ 5 ]
You can now show your Alexa Rank, by adding the tag {ALEXA_RANK} to the .tpl file you want (by default this is set to header.tpl). Remember to change the hook and the .tpl filename in the alexarank.php file before installation.

Enjoy!!