In order to publish a Windows Phone 7 application on the Marketplace, your app must pass a list of certification requirements. One of the items in the Windows Phone 7 Certification Requirements caught my eye:

In order to conform to this requirement in a Silverlight game, we can override the OnBackKeyPress event of a PhoneApplicationPage, and if the game is playing we can present the user with a "pause menu" allowing them to resume or exit the game. Here is an example of an OnBackKeyPress override that I'm using to show an in-game menu.

protected override void OnBackKeyPress(System.ComponentModel.CancelEventArgs e)

{

    if (ucMainGame1.GameState == ucMainGame.GameStates.Playing)

    {

        e.Cancel = true;

        ucMainGame1.PauseGame();

    }

}

To stop our app from closing due to the back button key press, we just set e.Cancel to true.

That's all there is to it. If your app has some deeply nested screens, for options and such, you will likely want to navigate to the screens using a NavigateUri property of a Hyperlink control. This way, the back button will take you back to previous pages and fulfill requirement 5.2.4.c.