public class ExampleApp extends Activity {
    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.main);
        AlertDialog.Builder alt_bld = new AlertDialog.Builder(this);
        alt_bld.setMessage("Do you want to close this window ?")
                .setCancelable(false)
                .setPositiveButton("Yes",
                        new DialogInterface.OnClickListener() {
                            public void onClick(DialogInterface dialog, int id) {
                                // Action for 'Yes' Button
                            }
                        })
                .setNegativeButton("No", new DialogInterface.OnClickListener() {
                    public void onClick(DialogInterface dialog, int id) {
                        // Action for 'NO' Button
                        dialog.cancel();
                    }
                });
        AlertDialog alert = alt_bld.create();
        // Title for AlertDialog
        alert.setTitle("Title");
        // Icon for AlertDialog
        alert.setIcon(R.drawable.icon);
        alert.show();
    }
}