First of all, sexual harassment is not OK. It never is.
That said, to avoid this situation, you wish to see as little as possible of Dave as you can. Simply tell Alice, but do so in a manner that describes how you feel and not what your opinion of him is. This may or may not include your fears about your friendship with her.
Find a moment when you are both comfortable and relaxed, whether at your place or hers, obviously without Dave being arouund. Her place is best, because that is where she is probably most comfortable.
Listen Alice, I have to tell you something. It's about Dave. Or rather, it's about me. You know, I feel more than a bit uncomfortable an unsafe when he's around. I really don't want this to get between you and me, but I think Dave has a thing for me. I've told Dave that I have absolutely no feelings for him but lately it has been getting to the point that I feel a little stressed out whenever he is around. I may be looking at ghosts, but that's the way I feel. So could we please stop hanging out at your place whenever there's a chance that Dave is around? Maybe it will just fade away if we let it rest for a while.
There, nothing was said that could cause Alice to feel forced to take sides in the matter. You simply stated your wish and why it is important to you. You held back quite a bit of information to be honest but that's excusable as you do not want to get into a round of victim finding and blaming at this point.
Now we get to Dave. I'm assuming that Dave is a private harasser, that is his behavior towards you changes when you are alone together. If so, it is vital (for your own healing) that you confront him and assert your limits and do this in no uncertain terms. Don't be afraid, he has no power over you, he is just the brother of a friend. So, whenever you find yourselves alone with him and he does it again:
Look Dave, stop that! You are seriously crossing my limits here by [demeaning/insulting/entering my private space/intimidating/suggesting/harassing] me and you know it. And it's not like this is the first time. (Optional: I don't want you, never did, never will). Back off!
Don't threaten, don't leave it hanging with a question. Say it with gusto and quite a bit of anger. Any retorts are countered by simply walking away or turning your back and refusing to talk other than reiterating your viewpoint, even if it is a lame and possibly insincere apology.
It is okay for Alice to witness that you and Dave are at odds now, which you can explain with:
Dave and I had an argument. Dave [did/said] something I took offense
to and I told him off. (Optional: he did not take that too kindly.)
No details, just the facts of the situation. Dave may downplay the argument when he is talking privately about what happened with his sister but there is nothing you can do about that. At the very least she now realizes that your feelings about the situation between you and her brother are sincere and still isn't forced by you to choose between the two of you.
Ultimately, she may want to know what is really going down between Dave and you. Then you face a choice, whether to tell her or not. The choice is a tough one because telling about sexual harassment frequently does not end well for the victim.
Not telling:
That's between me and Dave. Whenever you are not around, Dave [says/does] things I don't appreciate. Don't worry, I've got a handle on it now. I still don't feel comfortable or safe around him, though.
No details, just reiterate your wish to stay clear of Dave.
Telling:
Oh, I don't know. It is Dave's word against mine. Whenever you are not around, he [makes suggestive remarks, like ../comes sit next to me, like really close/calls me names, such as .../other observable behavior]. Because it concerns my sexuality and I don't want it, it is like it amounts to, you know, sexual harassment. I feel I did nothing to entice him to [do/say] these kinds of things. I have no idea whether Dave knows that this is against the law, but I don't want to press charges or anything. I've told him to stop it (optional: repeatedly), but he just won't back off. That's why I want to avoid him. I hope you understand.
And as an afterthought:
I don't want to become between you and your brother. He'll just say that it is all a misunderstanding and that I am overreacting. Maybe some of that is true, but I cannot help feel the way I feel about this, I just want it to stop.
I am afraid that it is up to Alice at this point on the follow up, if any.
One more thing, there is a risk that the confrontation with Dave leads to violence. Do not initiate or strike preemptively! Flee, defend or endure it. Do not counter attack! Afterwards, file charges immediately. As it turns out Dave is a real creep. That may well be the end of your friendship with Alice though.
