try something like this:

import java.awt.event.WindowAdapter;
import java.awt.event.WindowEvent;

import javax.swing.JFrame;
import javax.swing.JOptionPane;

public class Window extends JFrame
{
 public Window()
 {
   this.setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);
   this.addWindowListener(new WindowAdapter()
       {
         public void windowClosing(WindowEvent e)
         {
           WinClose(e);
         }
       });
 }

 private void WinClose(WindowEvent e)
 {
   int ok = 0;
   int cancel = 2;
   int anwser = JOptionPane.showConfirmDialog(this,
       "Do you want to close", "information",
       JOptionPane.OK_CANCEL_OPTION, JOptionPane.INFORMATION_MESSAGE);

   if (anwser == ok)
     System.exit(0);
 }
 public static void main(String[] args)
 {
   Window w = new Window();
   w.setSize(200,200);
   w.setVisible(true);
 }
}