How to show a dialog to confirm that the user wishes to exit an Android Activity?

In Android 2.0+ this would look like:

@Override
public void onBackPressed() {
    new AlertDialog.Builder(this)
        .setIcon(android.R.drawable.ic_dialog_alert)
        .setTitle("Closing Activity")
        .setMessage("Are you sure you want to close this activity?")
        .setPositiveButton("Yes", new DialogInterface.OnClickListener()
    {
        @Override
        public void onClick(DialogInterface dialog, int which) {
            finish();    
        }

    })
    .setNegativeButton("No", null)
    .show();
}

In earlier versions it would look like:

@Override
public boolean onKeyDown(int keyCode, KeyEvent event) {
    //Handle the back button
    if(keyCode == KeyEvent.KEYCODE_BACK) {
        //Ask the user if they want to quit
        new AlertDialog.Builder(this)
        .setIcon(android.R.drawable.ic_dialog_alert)
        .setTitle(R.string.quit)
        .setMessage(R.string.really_quit)
        .setPositiveButton(R.string.yes, new DialogInterface.OnClickListener() {

            @Override
            public void onClick(DialogInterface dialog, int which) {

                //Stop the activity
                YourClass.this.finish();    
            }

        })
        .setNegativeButton(R.string.no, null)
        .show();

        return true;
    }
    else {
        return super.onKeyDown(keyCode, event);
    }

}

Have modified @user919216 code .. and made it compatible with WebView

@Override
public void onBackPressed() {
    if (webview.canGoBack()) {
        webview.goBack();

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

}

If you are not sure if the call to "back" will exit the app, or will take the user to another activity, you can wrap the above answers in a check, isTaskRoot(). This can happen if your main activity can be added to the back stack multiple times, or if you are manipulating your back stack history.

if(isTaskRoot()) {
    AlertDialog.Builder builder = new AlertDialog.Builder(this);
    builder.setMessage("Are you sure you want to exit?")
       .setCancelable(false)
       .setPositiveButton("Yes", new DialogInterface.OnClickListener() {
           public void onClick(DialogInterface dialog, int id) {
                YourActivity.super.onBackPressed;
           }
       })
       .setNegativeButton("No", new DialogInterface.OnClickListener() {
           public void onClick(DialogInterface dialog, int id) {
                dialog.cancel();
           }
       });
    AlertDialog alert = builder.create();
    alert.show();

} else {
    super.onBackPressed();
}

First remove super.onBackPressed(); from onbackPressed() method than and below code:

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

}