I would say ignore CloseWindow and OpenWindow() for the reasons the previous poster suggested. However, while technically doable, it is considered bad form to handle whether to save or actually destroy a window (ie prompting the user) during WM_DESTROY. Once DestroyWindow is called and the OS sends a WM_DESTROY message, the expectation is to prepare for the destruction of the window. So the workflow should have be like this:
Send a WM_CLOSE to the window handle in question. CloseWindow SHOULD do this, like DestroyWindow sends a WM_DESTROY message or ShowWindow sends a WM_SHOWWINDOW message. But again, since it doesn't, send the WM_CLOSE to the window.
Next, during the processing of the WM_CLOSE message, you can ask the user if they wish to save anything, or if they intend to actually close the window. If they cancel closing the window, simply return ZERO to tell the OS you processed the message. If the user indicates they wish to proceed, THEN you can call DestroyWindow OR simply pass the message to DefWindowProc, which the promptly do the same. Any saving of files should happen during the processing of WM_CLOSE. During the processing of WM_DESTROY, you should delete any dynamically allocated memory associated with the window and free resources. And finally FYI, WM_NCDESTROY is the last message a window receives.