Like Ed suggested you need to do your check in QueryUnload() and return .f. if you don't want the form to close.
For frame of reference though, by time the Form.Destroy() event fires, there are no controls left to set focus to, they have already been destroyed.
>I click the close button of the title bar form.
>I want to send the focus to a control in a form when i'm in the destroy event, or i must check in another event where it´s still possible to send the focus to a control