Here's a nice one liner for your development environment:

on shutdown iif(messagebox('Wanna Quit?', 4) = 6, _vfp.DoCmd('QUIT'), '')

The catch is it throws an error. You could trap it, but it would be a two liner then, shucks. Meanwhile in VFP7, this works:

ON SHUTDOWN IIF(MESSAGEBOX("close?", 4) = 6, EXECSCRIPT('QUIT'), "")