jQuery .click() event
<span class="content-message-element"><a href=""><img class="content-message-icon" src="./images/icon_close.png" alt="Close Message" /></a></span>

<script type="text/javascript">
        $(".content-message-icon").click(function() {
            alert("Handler for .click() called.");
        });
    </script>

$(document).ready(function(){
        $('.content-message-icon').click(function(){
              //add click logic here
        });
});

$(function() {
    $(".content-message-icon").click(function() {
        alert("Handler for .click() called.");
    });
});

$(document).ready()

Try this
      <script type="text/javascript">
      $(".content-message-icon").live("click", function () {
      alert("Handler for .click() called.");
       });
     </script>

$(document).ready(function()
{
  ...click event
});