How about
class MyGUI extends JFrame {
public MyGUI() {
setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);// <- don't close window
// when [X] is pressed
final MyGUI gui = this;
addWindowListener(new WindowAdapter() {
public void windowClosing(WindowEvent e) {
int i = JOptionPane.showConfirmDialog(gui,
"Are you sure to exit?", "Closing dialog",
JOptionPane.YES_NO_OPTION);
if (i == JOptionPane.YES_OPTION) {
System.exit(0);
}
}
});
setSize(200, 200);
setVisible(true);
}
//demo
public static void main(String[] args) {
new MyGUI();
}
}