How to exit when back button is pressed?

Immediately after you start a new activity, using startActivity, make sure you call finish() so that the current activity is not stacked behind the new one.

EDIT With regards to your comment:

What you're suggesting is not particularly how the android app flow usually works, and how the users expect it to work. What you can do if you really want to, is to make sure that every startActivity leading up to that activity, is a startActivityForResult and has an onActivityResult listener that checks for an exit code, and bubbles that back. You can read more about that here. Basically, use setResult before finishing an activity, to set an exit code of your choice, and if your parent activity receives that exit code, you set it in that activity, and finish that one, etc...

In my Home Activity I override the "onBackPressed" to:

@Override
public void onBackPressed() {
   Intent intent = new Intent(Intent.ACTION_MAIN);
   intent.addCategory(Intent.CATEGORY_HOME);
   intent.setFlags(Intent.FLAG_ACTIVITY_NEW_TASK);
   startActivity(intent);
 }

so if the user is in the home activity and press back, he goes to the home screen.

I took the code from Going to home screen Programmatically