Here’s the fastest implementation I found, if you don’t need to have a “good looking dialog” but just a basic confirmation prompt:
#include "Misc/MessageDialog.h"
EAppReturnType::Type Result = FMessageDialog::Open(EAppMsgType::OkCancel, FText::FromString(TEXT("Do you want to proceed?")));
if (Result == EAppReturnType::Ok) {
// User clicked "Yes"
} else {
// User clicked "No" or closed the dialog
}