case WM_SYSCOMMAND:
if( wParam == SC_CLOSE ){
    int nRet = MessageBox( NULL, "是否关闭", "Infor", MB_YESNO );
    if( nRet != IDYES ){
        return 0;
    }else
    {
        PostQuitMessage( 0 );
    }
}
break;

unit Unit1;

interface

uses
  Winapi.Windows, Winapi.Messages, System.SysUtils, System.Variants, System.Classes, Vcl.Graphics,
  Vcl.Controls, Vcl.Forms, Vcl.Dialogs;

type
  TForm1 = class(TForm)
  private
    { Private declarations }
    procedure WndProc(var AMessage:TMessage);override;
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.WndProc(var AMessage: TMessage);
begin
  if (AMessage.Msg=WM_SYSCOMMAND) and (AMessage.WParam=SC_CLOSE) then
    Exit
  else
    inherited;
end;

end.