Hola
Sirikon eso no es en el evento FormClose, es en el FormClosing :
Código vb:
Ver originalPrivate Sub Form1_FormClosing(ByVal sender As System.Object, ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles MyBase.FormClosing
Try
Dim answer As System.Windows.Forms.DialogResult
answer = MessageBox.Show("Esta seguro de cerrar?", "Unsaved Document", MessageBoxButtons.YesNo, MessageBoxIcon.Question)
If answer = System.Windows.Forms.DialogResult.No Then
e.Cancel = True
Else
e.Cancel = False
System.Environment.[Exit](0)
End If
Catch ex As Exception
MessageBox.Show(ex.Message.ToString(), "Error")
End Try
End Sub
Cualquier duda comenta. Saludos !.