myJframe.addWindowListener(new WindowAdapter() {
            public void windowClosing(WindowEvent e) {
                int confirmed = JOptionPane.showConfirmDialog(null,
                        "Are you sure you want to exit?", "User Confirmation",
                        JOptionPane.YES_NO_OPTION);
                if (confirmed == JOptionPane.YES_OPTION)
                    exit(myJframe);
            }
        });