Java Code:
import org.eclipse.swt.SWT;
import org.eclipse.swt.widgets.Button;
import org.eclipse.swt.widgets.Display;
import org.eclipse.swt.widgets.Event;
import org.eclipse.swt.widgets.Listener;
import org.eclipse.swt.widgets.MessageBox;
import org.eclipse.swt.widgets.Shell;

public class MessageBoxExample {
  Display display = new Display();
  Shell shell = new Shell(display);

  Button button;
  public MessageBoxExample() {
    button = new Button(shell, SWT.PUSH);
    button.addListener(SWT.Selection, new Listener() {
      public void handleEvent(Event event) {
        MessageBox messageBox = new MessageBox(shell, SWT.ICON_WARNING | SWT.ABORT | SWT.RETRY | SWT.IGNORE);
        messageBox.setText("Warning");
        messageBox.setMessage("Save the changes before exiting?");
        int buttonID = messageBox.open();
        switch(buttonID) {
          case SWT.YES:
            // saves changes ...
          case SWT.NO:
            // exits here ...
            break;
          case SWT.CANCEL:
            // does nothing ...
        }
        System.out.println(buttonID);
      }
    });
    button.setText("Click me!");
    button.setBounds(0, 0, 100, 30);

    shell.pack();
    shell.open();
    //textUser.forceFocus();

    // Set up the event loop.
    while (!shell.isDisposed()) {
      if (!display.readAndDispatch()) {
        // If no more entries in event queue
        display.sleep();
      }
    }

    display.dispose();
  }

  private void init() {

  }

  public static void main(String[] args) {
    new MessageBoxExample();
  }
}