That is a simple alert dialog, Federico gave you a site where you can look things up.
Here is a short example of how an alert dialog can be built.
new AlertDialog.Builder(this)
.setTitle("Title")
.setMessage("Do you really want to whatever?")
.setIcon(android.R.drawable.ic_dialog_alert)
.setPositiveButton(android.R.string.yes, new DialogInterface.OnClickListener() {
public void onClick(DialogInterface dialog, int whichButton) {
Toast.makeText(MainActivity.this, "Yaay", Toast.LENGTH_SHORT).show();
}})
.setNegativeButton(android.R.string.no, null).show();
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