The close box

[Thomas Cole]

I want to write a script that executes when anyone clicks the little close box in the upper left in my standalone for Mac and on the right for Windows. Mac Users aren't accustomed to having the application quit when this box is clicked and there are places in my stack where instinct would have Windows users click it to get rid of something that looks like a window. I want this message to come up when that box is clicked: "Do you really want to quit the program?" with "Yes quit!" or "Cancel" 
I can't seem to find "on closebox" anywhere so I can do this.

Thanks,
Tom