Hi Gilverto i had the same problem with my application and y resolved it in this way:
In main.prg I put this line
on shutdown do salir

and in salir.prg I write this:

cMessageTitle = 'Salir del SIG'
cMessageText = 'Está Seguro que desea salir del SIG?'
nDialogType = 4 + 32 + 256

nAnswer = MESSAGEBOX(cMessageText, nDialogType, cMessageTitle)

DO CASE
CASE nAnswer = 6
CLOSE ALL
RELEASE WINDOWS
RELEASE ALL
SET ESCAPE ON
QUIT
CASE nAnswer = 7
RELEASE WINDOW "Salir del SIG"
ENDCASE

I hope this be usefull for you...
bye.