How do I change the theme of AlertDialog?

color_panel_background9.png in the drawable folder. It's also in the res folder of the Android SDK. 

package com.customdialog;

import android.app.Activity;
import android.app.AlertDialog;
import android.app.Dialog;
import android.content.DialogInterface;
import android.os.Bundle;

public class CustomDialog extends Activity {
    /** /** Called when the activity is first created. */
    @Override
    public void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.main);

        this.setTheme(R.style.CustomAlertDialog);
        AlertDialog.Builder builder = new AlertDialog.Builder(this);
        builder.setMessage("HELLO!");
        builder .setCancelable(false)
          .setPositiveButton("Yes", new DialogInterface.OnClickListener() {
           public void onClick(DialogInterface dialog, int id) {
               //MyActivity.this.finish();
           }
       })
       .setNegativeButton("No", new DialogInterface.OnClickListener() {
           public void onClick(DialogInterface dialog, int id) {
               //dialog.cancel();
           }
       });

        AlertDialog alertdialog = builder.create();
        alertdialog.show();
    }
}