AlertDialog.Builder builder = new AlertDialog.Builder(Activity.this);

builder.setMessage("Are you sure you want to exit?")

.setCancelable(false)

.setPositiveButton("Yes", new DialogInterface.OnClickListener() {

public void onClick(DialogInterface dialog, int id) {

//     MyActivity.this.finish();

}

})

.setNegativeButton("No", new DialogInterface.OnClickListener() {

public void onClick(DialogInterface dialog, int id) {

//     dialog.cancel();

}

});

AlertDialog alert = builder.create();

alert.show();