How to write code for window close button

If you're talking here about an ordinary WPF application, rather than a browser application, then you can simply handle the Close event (add the skeleton event handler from the Properties Box). For example:

private void Window_Closed(object sender, EventArgs e)
{
   MessageBox.Show("Goodbye!"); // or whatever
}

If you might want to prevent the window from closing in certain conditions, then you could handle the Closing event instead:

private void Window_Closing(object sender, System.ComponentModel.CancelEventArgs e)
{
   if (someCondition) e.Cancel = true;        
}