How to add message box with 'OK' button?

I think there may be problem that you haven't added click listener for ok positive button.

dlgAlert.setPositiveButton("Ok",
    new DialogInterface.OnClickListener() {
        public void onClick(DialogInterface dialog, int which) {
          //dismiss the dialog  
        }
    });

Since in your situation you only want to notify the user with a short and simple message, a Toast would make for a better user experience.

Toast.makeText(getApplicationContext(), "Data saved", Toast.LENGTH_LONG).show();

Update: A Snackbar is recommended now instead of a Toast for Material Design apps.

If you have a more lengthy message that you want to give the reader time to read and understand, then you should use a DialogFragment. (The documentation currently recommends wrapping your AlertDialog in a fragment rather than calling it directly.)

Make a class that extends DialogFragment:

public class MyDialogFragment extends DialogFragment {
    @Override
    public Dialog onCreateDialog(Bundle savedInstanceState) {

        // Use the Builder class for convenient dialog construction
        AlertDialog.Builder builder = new AlertDialog.Builder(getActivity());
        builder.setTitle("App Title");
        builder.setMessage("This is an alert with no consequence");
        builder.setPositiveButton("OK", new DialogInterface.OnClickListener() {
            public void onClick(DialogInterface dialog, int id) {
                // You don't have to do anything here if you just 
                // want it dismissed when clicked
            }
        });

        // Create the AlertDialog object and return it
        return builder.create();
    }
}

Then call it when you need it in your activity:

DialogFragment dialog = new MyDialogFragment();
dialog.show(getSupportFragmentManager(), "MyDialogFragmentTag");

See also

• Android Alert Dialog with one, two, and three buttons

The code compiles ok for me. May be you have forgotten to add the import:

import android.app.AlertDialog;

Anyway, you have a good tutorial here.

@Override
protected Dialog onCreateDialog(int id)
{
    switch(id)
    {
    case 0:
    {               
        return new AlertDialog.Builder(this)
        .setMessage("text here")
        .setPositiveButton("OK", new DialogInterface.OnClickListener() 
        {                   
            @Override
            public void onClick(DialogInterface arg0, int arg1) 
            {
                try
                {

                }//end try
                catch(Exception e)
                {
                    Toast.makeText(getBaseContext(),  "", Toast.LENGTH_LONG).show();
                }//end catch
            }//end onClick()
        }).create();                
    }//end case
  }//end switch
    return null;
}//end onCreateDialog