I guess it depends on your relationship with your neighbor. If you are civil with each other, starting out with a polite and friendly conversation about it is prudent. If it continues to be a problem, you may have to start being more stern and forceful with your neighbor. Of course, accidents can happen...the dog could get lost, wander into your yard and your neighbor may be apologizing profusely.
Hopefully your neighbor is a decent human being and isn't ignorant. Otherwise, this could create unnecessary dissention and cause some discomfort no matter how you approach it.