<?xml version="1.0" encoding="utf-8"?>
<RelativeLayout
 xmlns:android="http://schemas.android.com/apk/res/android"
 xmlns:tools="http://schemas.android.com/tools"
 android:layout_width="match_parent"
 android:layout_height="match_parent"
 tools:context=".MainActivity">
 <TextView
   android:layout_width="wrap_content"
   android:layout_height="wrap_content"
   android:text="Press The Back Button."
   android:textStyle="bold"
   android:textSize="24sp"
   android:layout_centerInParent="true" />
</RelativeLayout>

import android.app.AlertDialog;
import android.content.DialogInterface;
import android.support.v7.app.AppCompatActivity;
import android.os.Bundle;
public class MainActivity extends AppCompatActivity {
 @Override
 protected void onCreate(Bundle savedInstanceState) {
   super.onCreate(savedInstanceState);
   setContentView(R.layout.activity_main);
 }
 @Override
 public void onBackPressed() {
   AlertDialog.Builder builder = new AlertDialog.Builder(MainActivity.this);
   builder.setMessage("Do you want to exit?");
   builder.setTitle("Alert!");
   builder.setCancelable(false);
   builder.setPositiveButton("Yes", new DialogInterface.OnClickListener() {
    @Override
    public void onClick(DialogInterface dialog, int which) {
      finish();
    }
   });
   builder.setNegativeButton("No", new DialogInterface.OnClickListener() {
    @Override
    public void onClick(DialogInterface dialog, int which) {
      dialog.cancel();
    }
   });
   AlertDialog alertDialog = builder.create();
   alertDialog.show();
 }
}

<?xml version="1.0" encoding="utf-8"?>
<manifest xmlns:android="http://schemas.android.com/apk/res/android"
 package="app.com.sample">
 <application
   android:allowBackup="true"
   android:icon="@mipmap/ic_launcher"
   android:label="@string/app_name"
   android:roundIcon="@mipmap/ic_launcher_round"
   android:supportsRtl="true"
   android:theme="@style/AppTheme">
   
    <intent-filter>
     
      <category android:name="android.intent.category.LAUNCHER" />
    </intent-filter>
   </activity>
 </application>
</manifest>