1、
Private Sub Form1_FormClosing(ByVal sender As Object,ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
If MessageBox.Show("确定退出吗？","退出确认",MessageBoxButtons.YesNo,MessageBoxIcon.Question) = Windows.Forms.DialogResult.No Then
e.Cancel = True
End If
End Sub

2、
Private Sub Form1_FormClosing(ByVal sender As Object,ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
If MsgBox("确定退出吗？",MessageBoxButtons.OKCancel,"退出确认") = Windows.Forms.DialogResult.Cancel Then
e.Cancel = True
End If
End Sub


3、
Private Sub Form1_FormClosing(ByVal sender As Object,ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
Dim p As Integer
p = MsgBox("你真的要退出游戏吗？",MsgBoxStyle.OkCancel,"游戏提示")
If p = 2 Then
e.Cancel = True
End If
End Sub

4、最简单的代码：
Private Sub Form1_FormClosing(ByVal sender As Object,ByVal e As System.Windows.Forms.FormClosingEventArgs) Handles Me.FormClosing
If MsgBox("你确认要退出程序吗？","退出提示") = MsgBoxResult.Cancel Then e.Cancel = True
End Sub

以上只是点击窗口关闭按钮时的用法，若直接在窗体控件上点击退出时，可以用以下方式实现：

Public Sub checkExit() If (MessageBox.Show("您确定要退出系统吗？","确认",MessageBoxIcon.Question) = Windows.Forms.DialogResult.OK) Then Me.Close() Application.Exit() End If End Sub