форма имеет событие FormClosing с параметром типа FormClosingEventArgs.
private void Form1_FormClosing( object sender, FormClosingEventArgs e )
{
if ( e.CloseReason == CloseReason.UserClosing )
{
if ( MessageBox.Show( this, "Really?", "Closing...",
MessageBoxButtons.OKCancel, MessageBoxIcon.Question )
== DialogResult.Cancel ) e.Cancel = true;
}
}