You can set the JFrame DefaultCloseOperation to something like DO_NOTHING, and then, set a WindowsListener to grab the close event and do what you want. I'll post an exemple in a few minutes .
EDIT: Here's the example :
public static void main(String[] args) {
final JFrame frame = new JFrame("Test Frame");
frame.setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);
frame.setSize(800, 600);
frame.addWindowListener(new WindowAdapter() {
//I skipped unused callbacks for readability
@Override
public void windowClosing(WindowEvent e) {
if(JOptionPane.showConfirmDialog(frame, "Are you sure ?") == JOptionPane.OK_OPTION){
frame.setVisible(false);
frame.dispose();
}
}
});
frame.setVisible(true);
}
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