It's slang for having copied the ATIS (Automated Treminal Information System).
The information contained there is wind speed and direction, altimeter setting etc. If you listen to an ATIS broadcast, it will conclude with the phrase, "Advise on initial contact you have information Alpha", (or Bravo, or Charlie, etc.--the letter changes each time a new one is issued.)
It is slang. If the ATIS has changed recently, say from Zulu to Alpha, you'll often hear the controller ask, "Confirm you have Alpha?"
HPNPilot1200 beat me to the reply. My presumption was that what you have heard is something like "Anytown Tower, N123AC is with you and we have the numbers."