Displaying a confirmation dialog box when the user closes the form.

You should use the FormClosing event to show a dialog box.

  string msg= "Do you want to close the application?";
  string caption = "Confirm...";
  if ( MessageBox.Show( msg, caption, MessageBoxButtons.YesNo )
      == DialogResult.No )
    e.Cancel = true;

Türkçe'si için tiklayin.