Does it not work the same way? In other words, have you tried
uiwait(helpdlg('Click OK to Continue'));
promptMessage = sprintf('Do you want to Continue processing,\nor Cancel to abort processing?');
titleBarCaption = 'Continue?';
button = questdlg(promptMessage, titleBarCaption, 'Continue', 'Cancel', 'Continue');
if strcmpi(button, 'Cancel')
and it doesn't stop and ask you anything?