The WM_CLOSE message is sent as a signal that a window or an application should terminate.
WM_CLOSE
This message has no parameters.
If an application processes this message, it should return zero.
The DefWindowProc function calls the DestroyWindow function to destroy the window.
An application can prompt the user for confirmation, prior to destroying a window, by processing the WM_CLOSE message and calling the DestroyWindow function only if the user confirms the choice.