If you want to display an exit confirmation from your Windows Phone app, if user press the hardware back button, here is the code snippet. (It is not a recommended practice, as per Windows Phone market place certification requirements, if user pressing the back button from the application’s first page, application should exit)

protected override void OnBackKeyPress(CancelEventArgs e)
{
    if (MessageBox.Show("Are you sure want to exit?", "Confirm", 
        MessageBoxButton.OKCancel) != MessageBoxResult.OK)
    {
        e.Cancel = true;
    }

    base.OnBackKeyPress(e);
}

It will display a message box like this, if user press the back button.

Clicking on OK will exit the application.

Happy Coding.