It looks like you are showing the dialog box twice. Try this instead:

my $dialog = $mw->DialogBox (-title => "Delete", -buttons => ["Yes", "
+No"]);
$dialog->Label (-text => "Are You Sure you Want to Save?")->pack (-sid
+e => 'left');
my $answer = $dialog->Show;
return 0 if $answer eq "No";
save ()and exit if $answer eq "Yes";
 exit;

sub save { } ;
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