You make a dialog box then you add dialogbuttons and after that you have to define and create an event of what will happen if you press the button.
example: a dialog box where you can choose how many lives you will have when you enter the game. you got 2 buttons and when they click on one button you set the lives to 10
Here mate, take a look at this: http://world-editor-tutorials.thehelper.net/dialogs.php