Trap the window manager exit signal and redirect to your own exit routine. Cross platform. This won't trap someone closing or entering ctrl-c in the command.exe window. The best way to defend against that is to use wperl. (under windows)

Oops. zentara posted the correct answer while I was typing. Anyway; me too!

use warnings; 
use strict;
use Tk;
use Tk::DialogBox;

my $mw = MainWindow->new;
$mw->protocol('WM_DELETE_WINDOW' => \&myexit);

MainLoop;

sub myexit{
    my $db = $mw->DialogBox(-title => "Are you sure you want to exit?"
+, -buttons => ['OK', 'Cancel']);
    my $answer = $db->Show;
    Tk::exit if $answer eq 'OK';
}
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