C / C++ / MFC

if(nRetValue == IDCANCEL)
{
    AfxMessageBox ("No Image folder selected, terminating application");
    AfxGetMainWnd()->PostMessage(WM_CLOSE);
//PostQuitMessage(0);
//  exit(0);
}

1. Try with AfxGetApp()->m_pMainWnd()->PostMessage(WM_CLOSE), although I don't think it will work any better.
   
2. What are you doing within OnDestroy? Something sensible with your document? Try moving the code to OnClose.
   
3. Is the quit message posted from a thread other than the main thread?

BOOL CTrain1App::InitInstance()
{
	AfxEnableControlContainer();

	// Standard initialization
	// If you are not using these features and wish to reduce the size
	//  of your final executable, you should remove from the following
	//  the specific initialization routines you do not need.

#ifdef _AFXDLL
	Enable3dControls();			// Call this when using MFC in a shared DLL
#else
	Enable3dControlsStatic();	// Call this when linking to MFC statically
#endif

	// Change the registry key under which our settings are stored.
	// TODO: You should modify this string to be something appropriate
	// such as the name of your company or organization.
	SetRegistryKey(_T("Local AppWizard-Generated Applications"));

	LoadStdProfileSettings();  // Load standard INI file options (including MRU)


			AfxInitRichEdit();

	// Register the application's document templates.  Document templates
	//  serve as the connection between documents, frame windows and views.

	CMultiDocTemplate* pDocTemplate;
	pDocTemplate = new CMultiDocTemplate(
		IDR_TRAIN1TYPE,
		RUNTIME_CLASS(CTrain1Doc),
		RUNTIME_CLASS(CChildFrame), // custom MDI child frame
		RUNTIME_CLASS(CTrain1View));
	AddDocTemplate(pDocTemplate);


	
	m_pView1Template = pDocTemplate;


		pDocTemplate = new CMultiDocTemplate(
		IDR_TRAIN1TYPE,
		RUNTIME_CLASS(CTrain1Doc),
		RUNTIME_CLASS(CChildFrame), // custom MDI child frame
		RUNTIME_CLASS(CDlgLists));

		m_pView2Template = pDocTemplate;
	// create main MDI Frame window
	CMainFrame* pMainFrame = new CMainFrame;
	if (!pMainFrame->LoadFrame(IDR_MAINFRAME))
		return FALSE;
	m_pMainWnd = pMainFrame;

	// Parse command line for standard shell commands, DDE, file open
	CCommandLineInfo cmdInfo;
	ParseCommandLine(cmdInfo);

	// Dispatch commands specified on the command line
	if (!ProcessShellCommand(cmdInfo))
		return FALSE;

	// The main window has been initialized, so show and update it.
	pMainFrame->ShowWindow(m_nCmdShow);
	pMainFrame->UpdateWindow();

	return TRUE;
}

AfxGetMainWnd()->PostMessage(ID_APP_EXIT);

if(nRetValue == IDCANCEL)
{
    AfxMessageBox ("No Image folder selected, terminating application");
    AfxGetMainWnd()->PostMessage(WM_CLOSE);
//  AfxGetApp ()->HideApplication ();
//  AfxGetApp ()->CloseAllDocuments (TRUE);
//PostQuitMessage(0);
//  exit(0);
}