Hi! I have the solution of this Problem
Use This Code :
Private Sub FrmMDI_FormClosing(ByVal sender As Object, ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
Dim Flag As Integer
Flag = (MsgBox("Are you sure you want to exit ? ", vbInformation + vbOKCancel, "Exit"))
If Flag = 2 Then e.Cancel = 1
End
End Sub
And Your Problem is Solved.
Thank you. :)