Well, if you really want to have dialogue like this you'll have to get yourself a program called Pro Tools - a free version of it exists named "Pro Tools First".
Then, with the "Space" plugin, there are presets for Post Production, and on there you can find tiny speakers and things to make a sound appear to be coming out of a small speaker.
Although, I would take it a bit further:
Phase Shift it a bit - or if you don't have any ability to do the above and do not want to get Pro Tools, simply take your dialogue track and duplicate it and nudge the duplicated track about 20 samples to the right. Playing both tracks back at the same time causes "comb filtering" that will be a quick and dirty way of achieving that effect - but I don't recommend it. I recommend you get the proper tool for the job. Pro Tools with the limitless amounts of plug-ins that can be used to achieve this effect is what you need to get.
On the alien, it's got some kind of flanger on it - like the effect you put on your guitar to go "whhheeeewwwwhhhhheeeewwwwhhhhheeeewwwww" set to about 2 seconds recycle time. This is another plug-in you need.
BUT, and this is what I do on my films, take your dialogue track and actually play it back through a small speaker, or place the small speaker in a fishbowl and record it newly (like run it through a pair of headphones really loud inside a fishbowl and stick the mic in the fishbowl and record it again through the fishbowl). This gives the most realistic result, in my humble opinion, and I've done this on a LOT of stuff.
This is how I get dialogue to sound like it's coming from across the wall in another room. Or through TV speakers. The application is limitless... And it has a name: Walter Murch invented it - it's called Worldizing. Look it up!
You can abuse this technique to no end - and the editor working on Castaway took Tom Hanks' dialogue when he was stranded on the beach yelling at the ship way off in the distance and played it outside REALLY loud over a speaker to get that "slapback" sound, and it startled the neighbors. "HEYYYY, HEELLLLLPPP!!! HELP MEEEEEEEEE!!!!!! COME BAAAAAACKKKKK!!!!!!!!!"...
I would also like to point out to you that there is little to no foley or ambience in this. There are no sounds for the explosions, footsteps, gun foley, NOTHING. Please don't take this as a good example...