Android Overriding onBackPressed()

Yes. Only override it in that one Activity with

@Override
public void onBackPressed()
{
     // code here to show dialog
     super.onBackPressed();  // optional depending on your needs
}

don't put this code in any other Activity

Override the onBackPressed() method as per the example by codeMagic, and remove the call to super.onBackPressed(); if you do not want the default action (finishing the current activity) to be executed.