Answer by rjstelling for How to create an alert box in iphone?

Use an UIAlertView:

UIAlertView *av = [[UIAlertView alloc] initWithTitle:@"Alert Title" 
                                                     message:@"are you sure?"
                                                    delegate:self 
                                           cancelButtonTitle:@"No"
                                           otherButtonTitles:@"Yes", nil];


        [av show];
        [av autorelease];

Make sure you implement:

- (void)alertView:(UIAlertView *)alertView clickedButtonAtIndex:(NSInteger)buttonIndex

To handle the response.