JDialog return value?

Question

You may want to take a look to How to Use Modality in Dialogs document. First off you don't need to pass-in a JFrame to your class, you can simply get rid of it. Take a look to this example:

import java.awt.BorderLayout;
import java.awt.event.ActionEvent;
import java.awt.event.ActionListener;
import javax.swing.JButton;
import javax.swing.JDialog;
import javax.swing.JFrame;
import javax.swing.JLabel;
import javax.swing.JPanel;
import javax.swing.SwingUtilities;

public class Demo {

    private void createAndShowGUI() {

        JButton button = new JButton("Show dialog");
        button.addActionListener(new ActionListener() {
            @Override
            public void actionPerformed(ActionEvent e) {
                MyOptionPane optionPane = new MyOptionPane();
                int option = optionPane.showYesNoMessage("Close frame", "Do you really want to close the frame?");
                if(option == MyOptionPane.YES) {
                    JButton button = (JButton)e.getSource();
                    SwingUtilities.getWindowAncestor(button).dispose();
                }
            }
        });

        JPanel content = new JPanel();
        content.add(new JLabel("Test:"));
        content.add(button);

        JFrame frame = new JFrame("Demo");
        frame.setDefaultCloseOperation(JFrame.DISPOSE_ON_CLOSE);
        frame.getContentPane().add(content);
        frame.pack();
        frame.setLocationRelativeTo(null);
        frame.setVisible(true);
    }

    public class MyOptionPane {

        public static final int YES = 0;
        public static final int NO = -1;

        private int choice = NO;

        public int showYesNoMessage(String title, String message) {

            JLabel label = new JLabel(message);

            JButton yesButton = new JButton("Yes");
            yesButton.addActionListener(new ActionListener() {
                @Override
                public void actionPerformed(ActionEvent e) {
                    choice = YES;
                    JButton button = (JButton)e.getSource();
                    SwingUtilities.getWindowAncestor(button).dispose();
                }
            });

            JButton noButton = new JButton("No");
            noButton.addActionListener(new ActionListener() {
                @Override
                public void actionPerformed(ActionEvent e) {
                    choice = NO;
                    JButton button = (JButton)e.getSource();
                    SwingUtilities.getWindowAncestor(button).dispose();
                }
            });

            JPanel buttons = new JPanel();
            buttons.add(yesButton);
            buttons.add(noButton);

            JPanel content = new JPanel(new BorderLayout(8, 8));
            content.add(label, BorderLayout.CENTER);
            content.add(buttons, BorderLayout.SOUTH);

            JDialog dialog = new JDialog();
            dialog.setDefaultCloseOperation(JDialog.DISPOSE_ON_CLOSE);
            dialog.setModal(true);
            dialog.setTitle(title);
            dialog.getContentPane().add(content);
            dialog.pack();
            dialog.setLocationRelativeTo(null);
            dialog.setVisible(true);

            return choice;
        }
    }

    public static void main(String[] args) {   
        SwingUtilities.invokeLater(new Runnable() {
            @Override
            public void run() {                
                new Demo().createAndShowGUI();
            }
        });
    }

}

Off-topic

About the use of setBounds() and as @AndrewThompson always says:

Java GUIs might have to work on a number of platforms, on different screen resolutions & using different PLAFs. As such they are not conducive to exact placement of components. To organize the components for a robust GUI, instead use layout managers, or combinations of them, along with layout padding & borders for white space.

So you should totally avoid the use of setBounds() and set(Preferred | Minimum | Maximum)Size() when you're working with Swing components.