So far this seems to come very close
<%= link_to( image_tag("myimg.png", { :border => 0, :alt => "bla bla" }), :action => "config" ) %>
I see the image and no border (which is what I want :), but no alt!!
Works perfectly for me.
What do you mean by saying you see no alt? Did you look for it in generated HTML, or do you expect it to show up like little yellow popup(tool-tip) when hovering mouse cursor over image? In latter case only IE will show alt attribute as tool-tip and IE is wrong. If you still want this tool-tip you should use title attribute, not alt.
If tool-tip is not that you want, then check your code and generated HTML. With the code you've provided I get: <a href="/test/config"><img alt="bla bla" border="0" src="/images/myimg.png" /></a> - just how it is supposed to work.
Regards, Rimantas