Here I have created a simple Dialog, like:

Custom_dialog.xml
 
<?xml version="1.0" encoding="utf-8"?> 
<LinearLayout xmlns:android="http://schemas.android.com/apk/res/android" android:layout_width="fill_parent" 
android:layout_height="80dp" 
android:background="#3E80B4" 
android:orientation="vertical" > 
<TextView 
          android:id="@+id/txt_dia" 
          android:layout_width="wrap_content"  
          android:layout_height="wrap_content" 
          android:layout_gravity="center" 
          android:layout_margin="10dp" 
          android:text="Do you realy want to exit ?" 
          android:textColor="@android:color/white" 
          android:textSize="15dp" 
          android:textStyle="bold"/> 
<LinearLayout 
              android:layout_width="wrap_content" 
              android:layout_height="wrap_content" 
              android:layout_gravity="center" 
              android:background="#3E80B4" 
              android:orientation="horizontal" > 
<Button 
            android:id="@+id/btn_yes" 
            android:layout_width="100dp" 
            android:layout_height="30dp" 
            android:background="@android:color/white" 
            android:clickable="true" 
            android:text="Yes" 
            android:textColor="#5DBCD2" 
            android:textStyle="bold" /> 
<Button 
        android:id="@+id/btn_no" 
        android:layout_width="100dp" 
        android:layout_height="30dp" 
        android:layout_marginLeft="5dp" 
        android:background="@android:color/white" 
        android:clickable="true" 
        android:text="No" 
        android:textColor="#5DBCD2" 
        android:textStyle="bold" /> 
</LinearLayout> 
</LinearLayout>
You have to extends Dialog and implements OnClickListener
 
public class CustomDialogClass extends Dialog implements 
        android.view.View.OnClickListener { 
public Activity c; 
public Dialog d; 
public Button yes, no; 
public CustomDialogClass(Activity a) { 
      super(a); 
      // TODO Auto-generated constructor stub 
      this.c = a; 
} 
@Override 
protected void onCreate(Bundle savedInstanceState) { 
      super.onCreate(savedInstanceState); 
      requestWindowFeature(Window.FEATURE_NO_TITLE);  setContentView(R.layout.custom_dialog); 
yes = (Button) findViewById(R.id.btn_yes); 
no = (Button) findViewById(R.id.btn_no); 
yes.setOnClickListener(this); 
no.setOnClickListener(this); 
} 
@Override 
public void onClick(View v) { 
    switch (v.getId()) { 
    case R.id.btn_yes: 
        c.finish(); 
        break; 
    case R.id.btn_no: 
          dismiss(); 
          break; 
          default: 
          break; 
} 
dismiss(); 
  } 
}
How to Call Dialog ?
 
R.id.TXT_Exit: CustomDialogClass cdd=new CustomDialogClass(Values.this); cdd.show();