How to handle Back button with in the dialog?

I am developing an application that when the button is pressed, it opens a dialog with OK and Cancel buttons.

It works fine.

When the user presses the back button, I am handling this as follows

public boolean onKeyDown(int keyCode, KeyEvent event) 
{
    if ((keyCode == KeyEvent.KEYCODE_BACK)) 
    {

    }
 return super.onKeyDown(keyCode, event);
}

But the above method is not called. How can I handle this?

dialog.setOnKeyListener(new Dialog.OnKeyListener() {

            @Override
            public boolean onKey(DialogInterface arg0, int keyCode,
                    KeyEvent event) {
                // TODO Auto-generated method stub
                if (keyCode == KeyEvent.KEYCODE_BACK) {
                    finish();
                    dialog.dismiss();
                }
                return true;
            }
        });

Sounds like you want to set the OnCancelListener when you create the Dialog. It looks like this:

dialog.setOnCancelListener(new DialogInterface.OnCancelListener() {         
    @Override
    public void onCancel(DialogInterface dialog) {
        //do whatever you want the back key to do
    }
});