Here I have created a simple Dialog, like:

custom_dialog.xml

<?xml version="1.0" encoding="utf-8"?>
<LinearLayout xmlns:android="http://schemas.android.com/apk/res/android"
    android:layout_width="fill_parent"
    android:layout_height="80dp"
    android:background="#3E80B4"
    android:orientation="vertical" >

    <TextView
        android:id="@+id/txt_dia"
        android:layout_width="wrap_content"
        android:layout_height="wrap_content"
        android:layout_gravity="center"
        android:layout_margin="10dp"
        android:text="Do you realy want to exit ?"
        android:textColor="@android:color/white"
        android:textSize="15dp"
        android:textStyle="bold"/>
    

    <LinearLayout
        android:layout_width="wrap_content"
        android:layout_height="wrap_content"
        android:layout_gravity="center"
        android:background="#3E80B4"
        android:orientation="horizontal" >

        <Button
            android:id="@+id/btn_yes"
            android:layout_width="100dp"
            android:layout_height="30dp"
            android:background="@android:color/white"
            android:clickable="true"
            android:text="Yes"
            android:textColor="#5DBCD2"
            android:textStyle="bold" />

        <Button
            android:id="@+id/btn_no"
            android:layout_width="100dp"
            android:layout_height="30dp"
            android:layout_marginLeft="5dp"
            android:background="@android:color/white"
            android:clickable="true"
            android:text="No"
            android:textColor="#5DBCD2"
            android:textStyle="bold" />
    </LinearLayout>

</LinearLayout>

You have to extends Dialog and implements OnClickListener

public class CustomDialogClass extends Dialog implements
    android.view.View.OnClickListener {

  public Activity c;
  public Dialog d;
  public Button yes, no;

  public CustomDialogClass(Activity a) {
    super(a);
    // TODO Auto-generated constructor stub
    this.c = a;
  }

  @Override
  protected void onCreate(Bundle savedInstanceState) {
    super.onCreate(savedInstanceState);
    requestWindowFeature(Window.FEATURE_NO_TITLE);
    setContentView(R.layout.custom_dialog);
    yes = (Button) findViewById(R.id.btn_yes);
    no = (Button) findViewById(R.id.btn_no);
    yes.setOnClickListener(this);
    no.setOnClickListener(this);

  }

  @Override
  public void onClick(View v) {
    switch (v.getId()) {
    case R.id.btn_yes:
      c.finish();
      break;
    case R.id.btn_no:
      dismiss();
      break;
    default:
      break;
    }
    dismiss();
  }
}

How to Call Dialog ?

R.id.TXT_Exit:
CustomDialogClass cdd=new CustomDialogClass(Values.this);
cdd.show();  

Updates

After a long time one of my friends asked me to make a curved shape dialog with a transparent background. So, Here I have implemented it.

To Make a curved shape you need to create a separate curve_shap.XML as below,

<shape xmlns:android="http://schemas.android.com/apk/res/android" >

    <solid android:color="#000000" />

    <stroke
        android:width="2dp"
        android:color="#ffffff" />

    <corners
        android:bottomLeftRadius="20dp"
        android:bottomRightRadius="20dp"
        android:topLeftRadius="20dp"
        android:topRightRadius="20dp" />

</shape>

Now, add this curve_shap.XML in your main view Layout. In my case I have used LinearLayout

<LinearLayout xmlns:android="http://schemas.android.com/apk/res/android"
        android:layout_width="fill_parent"
        android:layout_height="80dp"
        android:background="@drawable/curve_shap"
        android:orientation="vertical" >
...
</LinearLayout>

How to call this ?

CustomDialogClass cdd = new CustomDialogClass(MainActivity.this);
cdd.getWindow().setBackgroundDrawable(new ColorDrawable(Color.TRANSPARENT));
cdd.show();

I hope that works for you.