QMessageBox includes static methods to quickly ask such questions:

#include <QApplication>
#include <QMessageBox>

int main(int argc, char **argv)
{
    QApplication app{argc, argv};
    while (QMessageBox::question(nullptr,
                                 qApp->translate("my_app", "Test"),
                                 qApp->translate("my_app", "Are you sure you want to quit?"),
                                 QMessageBox::Yes|QMessageBox::No)
           != QMessageBox::Yes)
        // ask again
        ;
}

If your needs are more complex than provided for by the static methods, you should construct a new QMessageBox object, and call its exec() method to show it in its own event loop and obtain the pressed button identifier. For example, we might want to make “No” be the default answer:

#include <QApplication>
#include <QMessageBox>

int main(int argc, char **argv)
{
    QApplication app{argc, argv};
    auto question = new QMessageBox(QMessageBox::Question,
                                    qApp->translate("my_app", "Test"),
                                    qApp->translate("my_app", "Are you sure you want to quit?"),
                                    QMessageBox::Yes|QMessageBox::No,
                                    nullptr);
    question->setDefaultButton(QMessageBox::No);

    while (question->exec() != QMessageBox::Yes)
        // ask again
        ;
}