How to set a cancel button in Progress Dialog?

The setButton method you are using is deprecated (although it should still work). Also, you might want to add the button before showing the dialog. Try:

myDialog = new ProgressDialog(BaseScreen.this);
myDialog.setMessage("Loading...");
myDialog.setCancelable(false);
myDialog.setButton(DialogInterface.BUTTON_NEGATIVE, "Cancel", new DialogInterface.OnClickListener() {
    @Override
    public void onClick(DialogInterface dialog, int which) {
        myDialog.dismiss();//dismiss dialog
    }
});
myDialog.show();