class MyWindowAdapter extends WindowAdapter
        {
            public void windowClosing(WindowEvent e)
            {
                int flag = JOptionPane.showConfirmDialog(MainFrame.this, "Are you sure that you want to exit? " + 
                    "Any unsaved work will be lost! ", "Sure to exit?", JOptionPane.YES_NO_OPTION);
                
                if (flag == 0)    // User selected YES
                    setVisible(false);
                else if (flag == 1)    // User selected NO
                    // ...
            }
        }
        
        addWindowListener(new MyWindowAdapter());

import java.awt.*;
import java.awt.event.*;
import javax.swing.*;

public class Test extends JFrame
{
    public Test()
    {
        setSize(200, 200);
        addWindowListener(new MyWindowAdapter());
    }
    
    public static void main(String[] args)
    {
        Test t = new Test();
        t.setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);//你肯定落了这句
        t.setVisible(true);
    }
    
    class MyWindowAdapter extends WindowAdapter
    {
        public void windowClosing(WindowEvent e)
        {
            int flag = JOptionPane.showConfirmDialog(Test.this, "Are you sure that you want to exit? " + 
                        "Any unsaved work will be lost! ", "Sure to exit?", JOptionPane.YES_NO_OPTION);
            if (flag == JOptionPane.YES_OPTION)
                Test.this.setVisible(false);
        }
    }
}