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Procedure TForm1.FormCloseQuery (Sender: TObject; Var CanClose: Boolean);
Begin
  CanClose := Application.MessageBox (
      'Programm wirklich beenden?', 
      '',
      MB_YesNo + MB_IconQuestion + MB_DefButton2
    ) = IDYes;
End;					

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procedure TForm1.FormClose(Sender: TObject; var Action: TCloseAction);
begin
  case MessageBox(
                  Self.Handle,
                  'Wirklich beenden',
                  'Hinweis',
                  MB_YESNO or
                  MB_ICONINFORMATION
                  ) of
       ID_NO:
         Action := caNone;
  end;
end;