The following example uses a CancelEventArgs and a CancelEventHandler to handle the Closing event of a Form. 
This code assumes that you have created a Form with a class-level Boolean variable named myDataIsSaved.

[C#] 
// Calls this method from the InitializeComponent() method of your form
    private void OtherInitialize() {
       this.Closing += new CancelEventHandler(this.Form1_Cancel);
       this.myDataIsSaved = new Boolean();
       this.myDataIsSaved = true;
    }
    protected void Form1_Cancel (Object sender, CancelEventArgs e) {
       if (!myDataIsSaved) {
          e.Cancel = true;
          MessageBox.Show( "You must save first." );
       }
       else {
          e.Cancel = false;
          MessageBox.Show( "Goodbye." );
       }
    }