[[AgustinOrtu]]

Proba asi:

Código Delphi [-]
procedure TForm1.Button1Click(Sender: TObject);
begin
    if MessageDlg('Aca tu mensaje', TMsgDlgType.mtConfirmation,
                  [TMsgDlgBtn.mbYes, TMsgDlgBtn.mbNo], 0) = mrYes then
        // pulso yes
    else
        // pulso no
end;