Private Shared WM_QUERYENDSESSION As Integer = &H11
 Private Shared systemShutdown As Boolean = False
 Protected Overrides Sub WndProc(ByRef m As System.Windows.Forms.Message)
     If m.Msg = WM_QUERYENDSESSION Then
         MessageBox.Show("queryendsession: this is a logoff, shutdown, or reboot")
         systemShutdown = True
     End If
     ' If this is WM_QUERYENDSESSION, the closing event should be raised in the base WndProc.
     MyBase.WndProc(m)
 End Sub 'WndProc 
 Private Sub Form1_Closing(ByVal sender As System.Object, ByVal e As System.ComponentModel.CancelEventArgs) Handles MyBase.Closing
     If (systemShutdown) Then
     ' Reset the variable because the user might cancel the shutdown.
         systemShutdown = False
         If (System.Windows.Forms.DialogResult.Yes = _
                 MessageBox.Show("My application", "Do you want to save your work before logging off?", MessageBoxButtons.YesNo)) Then
                 e.Cancel = True
         Else
                 e.Cancel = False
         End If
     End If
 End Sub

private static int WM_QUERYENDSESSION = 0x11;
private static bool systemShutdown = false;
protected override void WndProc(ref System.Windows.Forms.Message m)
{
    if (m.Msg==WM_QUERYENDSESSION)
    {
        MessageBox.Show("queryendsession: this is a logoff, shutdown, or reboot");
        systemShutdown = true;
    }

    // If this is WM_QUERYENDSESSION, the closing event should be
    // raised in the base WndProc.
    base.WndProc(ref m);

} //WndProc 

private void Form1_Closing(
    System.Object sender, 
    System.ComponentModel.CancelEventArgs e)
{
    if (systemShutdown)
        // Reset the variable because the user might cancel the 
        // shutdown.
    {
        systemShutdown = false;
        if (DialogResult.Yes==MessageBox.Show("My application", 
            "Do you want to save your work before logging off?", 
            MessageBoxButtons.YesNo))
        {
            e.Cancel = true;
        }
        else
        {
            e.Cancel = false;
        }
    }
}