MsbBox Help

i want to make it so that
when somebody tries to exit
my application a msgbox pops up and says

Are You Sure You Want To Quit?

then the person could click yes or no
i know how to make a msgbox
but i dont know how to make it so that
when you exitout it pops up

can anyone give me the code or something?
plz?

If MsgBox( "Are you sure to exit ?",MsgBoxStyle.YesNo, "Confirmation") = MsgBoxResult.Yes Then
End
Else
MsgBox( "You have chosen not to exit.")
End If


Hope this helps !!