Java Code:
import org.eclipse.swt.SWT;
import org.eclipse.swt.events.SelectionAdapter;
import org.eclipse.swt.events.SelectionEvent;
import org.eclipse.swt.graphics.Image;
import org.eclipse.swt.widgets.Display;
import org.eclipse.swt.widgets.Menu;
import org.eclipse.swt.widgets.MenuItem;
import org.eclipse.swt.widgets.MessageBox;
import org.eclipse.swt.widgets.Shell;

public class SWTMessageBoxExample {

  Display d;

  Shell s;

  SWTMessageBoxExample() {
    d = new Display();
    s = new Shell(d);
    s.setSize(400, 400);
    s.setText("A MessageBox Example");
    //         create the menu system
    Menu m = new Menu(s, SWT.BAR);
    // create a file menu and add an exit item
    final MenuItem file = new MenuItem(m, SWT.CASCADE);
    file.setText("&File");
    final Menu filemenu = new Menu(s, SWT.DROP_DOWN);
    file.setMenu(filemenu);
    final MenuItem exitItem = new MenuItem(filemenu, SWT.PUSH);
    exitItem.setText("E&xit");
    exitItem.addSelectionListener(new SelectionAdapter() {
      public void widgetSelected(SelectionEvent e) {
        MessageBox messageBox = new MessageBox(s, SWT.ICON_QUESTION
            | SWT.YES | SWT.NO);
        messageBox.setMessage("Do you really want to exit?");
        messageBox.setText("Exiting Application");
        int response = messageBox.open();
        if (response == SWT.YES)
          System.exit(0);
      }
    });
    s.setMenuBar(m);
    s.open();

    while (!s.isDisposed()) {
      if (!d.readAndDispatch())
        d.sleep();
    }
    d.dispose();
  }

  public static void main(String[] argv) {
    new SWTMessageBoxExample();
  }

}