How to open a dialog when I click a button?

Your dialog isn't displayed, because you don't call AlertDialog#show.

Aman Alam's souliton is good, but the .setButton() part gave me an error. So I implemented it in kotlin and fixed the error.

Kotlin

    val dialog = AlertDialog.Builder(this)

    dialog.setTitle("Title")
          .setMessage("Write your message here.")
          .setPositiveButton("YES") { dialog, whichButton ->
               // DO YOUR STAFF
          }
         .setNegativeButton("NO") { dialog, whichButton ->
               // DO YOUR STAFF 
               // dialog.close()
          }

    dialog.show()

More about dialogs: https://developer.android.com/guide/topics/ui/dialogs

As @Roflcoptr has said, you haven't called alertDialog.show() method. thus your dialog doesn't appear.

Here's your edited code:

Button more = (Button) findViewById(R.id.more);
more.setOnClickListener(new View.OnClickListener() {
    public void onClick(View view) {
        //Intent myIntent = new Intent(view.getContext(), agones.class);
        //startActivityForResult(myIntent, 0);


        AlertDialog alertDialog = new AlertDialog.Builder(<YourActivityName>this).create(); //Read Update
        alertDialog.setTitle("hi");
        alertDialog.setMessage("this is my app");

        alertDialog.setButton("Continue..", new DialogInterface.OnClickListener() {
           public void onClick(DialogInterface dialog, int which) {
              // here you can add functions
           }
        });

        alertDialog.show();  //<-- See This!
    }

});

if you write this instead of <ActivityName>.this, then it is going to take the reference of View.OnClickListener since this is currently being accessed inside it. You need to give your Activity's name there.