AlertDialog.Builder alert = new AlertDialog.Builder(MyActivity.this);
alert.setPositiveButton("확인", new DialogInterface.OnClickListener() {
    @Override
    public void onClick(DialogInterface dialog, int which) {
    dialog.dismiss();     //닫기
    }
});
alert.setMessage("테스트 메세지");
alert.show();

AlertDialog.Builder alert_confirm = new AlertDialog.Builder(MyActivity.this);

alert_confirm.setMessage("Yes or No?").setCancelable(false).setPositiveButton("YES",
new DialogInterface.OnClickListener() {
    @Override
    public void onClick(DialogInterface dialog, int which) {
        // 'YES'
    }
}).setNegativeButton("NO",
new DialogInterface.OnClickListener() {
    @Override
    public void onClick(DialogInterface dialog, int which) {
        // 'No'
    return;
    }
});
AlertDialog alert = alert_confirm.create();
alert.show();

[출처] http://shstarkr.tistory.com/144