There are 2 life-cycle methods that you need to know that are self-explanatory

    public boolean onCreateOptionsMenu(Menu menu) {..} //where you either inflate the xml or programatically add menu-items
    public boolean onOptionsItemSelected(MenuItem item) {..} //where you write code for action onClick

//MainActivity.java

    @Override
    public boolean onCreateOptionsMenu(Menu menu) {
        // Inflate the menu; this adds items to the action bar if it is present.
        //getMenuInflater().inflate(R.menu.main, menu);

        //Adding Menu Items Programatically
        menu.add(Menu.NONE, ITEM_COLORS_ID, Menu.NONE, R.string.colors);
        menu.add(Menu.NONE, ITEM_DAYS_OF_WEEK_ID, Menu.NONE, R.string.days_of_week);
        menu.add(Menu.NONE, ITEM_QUIT_ID, Menu.NONE, R.string.quit); //Is Quit Menu, a good practice for Android app??

        return true;
    }

    @Override
    public boolean onOptionsItemSelected(MenuItem item) {
        int id = item.getItemId();
        //if (id == R.id.action_settings) { return true; }
        if (id == ITEM_COLORS_ID) {
            final String[] colors = {"Black", "Blue", "Green", "Red", "Orange", "White"};
            final Set<String> favouriteColors = new HashSet<String>();

            final boolean[] choices = {true, false, false, false, false, false, false};
            final AlertDialog.Builder builder = new AlertDialog.Builder(MainActivity.this);
            builder.setTitle("My Favourite Colors");
            builder.setMultiChoiceItems(colors, choices, new OnMultiChoiceClickListener() {
                @Override
                public void onClick(DialogInterface dialog, int which, boolean isChecked) {
                    if(isChecked) {
                        favouriteColors.add(colors[which]);
                    } else {
                        favouriteColors.remove(colors[which]);
                    }
                }
            });
            builder.setPositiveButton("Ok", new OnClickListener() {
                @Override
                public void onClick(DialogInterface dialog, int which) {
                    Toast.makeText(MainActivity.this, "So you like " + favouriteColors.toString() + ", ha?", Toast.LENGTH_LONG).show();
                }
            });
            builder.show();

        } else if (id == ITEM_DAYS_OF_WEEK_ID ) {
            final String[] days = {"Sunday", "Monday", "Tuesday", "Wednesday", "Thursday", "Friday", "Saturday"};
            AlertDialog.Builder alertDialogBuilder = new AlertDialog.Builder(this);
            alertDialogBuilder.setTitle("Sample Options");
            alertDialogBuilder.setItems(days, new OnClickListener() {
                @Override
                public void onClick(DialogInterface dialog, int which) {
                    String day = days[which];
                    Toast.makeText(MainActivity.this, "So you like " + day + ", ha?", Toast.LENGTH_LONG).show();
                }
            });
            alertDialogBuilder.setNegativeButton("Cancel", null);
            alertDialogBuilder.show();
        } else if (id == ITEM_QUIT_ID){
            finish();
        }
        //      return super.onOptionsItemSelected(item);
        return true;
    }