Inserta este codigo en el form:
Private Sub Form_QueryUnload(Cancel As Integer, UnloadMode As Integer)
Select Case UnloadMode
    Case vbFormCode:
        'MsgBox "Opcion Cancelar"
    Case vbAppTaskManager:
        'MsgBox "Case 2"
    Case vbAppWindows:
        'MsgBox "case 3"
    Case Else
        Beep
        Cancel = True
End Select
End Sub