AlertDialog.Builder alertDialogBuilder = new AlertDialog.Builder( context);
// set title alertDialogBuilder.setTitle("Your Title");
// set dialog message alertDialogBuilder .setMessage("Click yes to exit!") .setCancelable(false) .setPositiveButton("Yes",new DialogInterface.OnClickListener() { public void onClick(DialogInterface dialog,int id) { // if this button is clicked, close // current activity MainActivity.this.finish(); } }) .setNegativeButton("No",new DialogInterface.OnClickListener() { public void onClick(DialogInterface dialog,int id) { // if this button is clicked, just close // the dialog box and do nothing dialog.cancel(); } });
// create alert dialog AlertDialog alertDialog = alertDialogBuilder.create();
// show it alertDialog.show(); } });

Try this out :
AlertDialog.Builder alertDialogBuilder = new AlertDialog.Builder( context); // set title alertDialogBuilder.setTitle("Your Title"); // set dialog message alertDialogBuilder .setMessage("Click yes to exit!") .setCancelable(false) .setPositiveButton("Yes",new DialogInterface.OnClickListener() { public void onClick(DialogInterface dialog,int id) { // if this button is clicked, close // current activity MainActivity.this.finish(); } }) .setNegativeButton("No",new DialogInterface.OnClickListener() { public void onClick(DialogInterface dialog,int id) { // if this button is clicked, just close // the dialog box and do nothing dialog.cancel(); } }); // create alert dialog AlertDialog alertDialog = alertDialogBuilder.create(); // show it alertDialog.show(); }