how to make a must be first tackled window?

for example : a windows to tell user whether sure to quit the game.before user clicks the yes or no button , he can't do anything else

can i use gui.window to achieve the goal??

Sure. All you need to do is not have any other items on the screen that the user can interact with and you have your modal dialog. And using a Window for that is just fine.

You might also considering setting Time.timeScale to 0 which basically pauses the game.

Scripting reference: Time.timeScale