根据认证要求，不建议覆盖后退按钮 -

As per certification requirements it is not recommended to override the back button -

从应用程序的第一个屏幕按下返回按钮必须关闭应用程序.

Pressing the Back button from the first screen of an app must close the app.

http://msdn.microsoft.com/en-us/library/windowsphone/develop/hh184840%28v=vs.105%29.aspx

你可以试试这个代码

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

    }
}