* Yemen's Houthis fought a border war with Saudi Arabia in 2009-10 * Al Qaeda's Yemen wing has sworn to bring down Saudi rulers * Last year 235,000 people were captured crossing the border * New border defences are under construction By Angus McDowall JIZAN, Saudi Arabia, **v 11 (Reuters) - Gains by the Shi'ite Houthi rebel movement in Yemen are ringing alarm bells in Saudi Arabia, concerned for what it means for its vulnerable southern border, already the conduit for a constant flow of illicit activity. ...