You can do this a whole simpler:
int test = JOptionPane.showConfirmDialog(null, "Would you like green eggs and ham?", "An insane question!");
switch(test) {
case 0: JOptionPane.showMessageDialog(null, "HELLO!"); //Yes option
case 1: JOptionPane.showMessageDialog(null, "GOODBYE!"); //No option
case 2: JOptionPane.showMessageDialog(null, "GOODBYE!"); //Cancel option
}