You can handle the WM_DELETE_WINDOW protocol:

use Tk; use Tk::Dialog;

my $mw = new MainWindow;

$mw->Button( -text => "Exit", -command => \&confirm_exit )->pack;

$mw->protocol( WM_DELETE_WINDOW => \&confirm_exit );

my $exit_dlg = $mw->Dialog( -text => "Really exit?", -buttons => [qw(Y
+es No)], -default_button => 'Yes' );

MainLoop;

warn "exited MainLoop\n";

sub confirm_exit
{
    my $yn = $exit_dlg->Show;
    $yn =~ /y/i or return;
    warn "destroying MainWindow\n";
    $mw->destroy;
}
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