Para crear un alert en android se hace de la siguiente forma:

AlertDialog.Builder builder = new AlertDialog.Builder(MainActivity.this); 
builder.setTitle("Are you sure you want to exit"); 
builder.setMessage("Vol tencar aquest dialog?"); 
builder.setCancelable(false); 
builder.setPositiveButton("Yes", new DialogInterface.OnClickListener() { 
    public void onClick(DialogInterface dialog, int id) {
        MainActivity.this.finish(); 
    } 
}); 
builder.setNegativeButton("No", new DialogInterface.OnClickListener() { 
    @Override 
    public void onClick(DialogInterface dialog, int which) {
        dialog.cancel(); 
    } 
}); 
AlertDialog alert = builder.create(); 
alert.show();