AlertDialog.Builder builder = new AlertDialog.Builder(this);
builder.setMessage("Are you sure you want to exit?");

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()
{
public void onClick(DialogInterface dialog, int id)
{
dialog.cancel();
}
});

builder.setNeutralButton("Test", new DialogInterface.OnClickListener()
{
public void onClick(DialogInterface dialog, int id)
{


}
});

AlertDialog alert = builder.create();
alert.show();