whats the code use when we close a form and it will show a message box?

As long as the icon you want to use is one of the predefined ones (see http://msdn.microsoft.com/en-us/library/system.windows.forms.messageboxicon.aspx), you can also use a standard MessageBox for this. For example:

Hi,

try this link given below...Hope it helps...
http://www.codeproject.com/Articles/19711/Creating-A-Custom-Message-Box-Part-2