Java Samples 4. jFrame close confirmation.

...
main.this.addWindowListener(new WindowListener() {
    public void windowClosing(WindowEvent event) {
    Object[] options = { "Yes", "No" };
    int n = JOptionPane.showOptionDialog(event.getWindow(), "Close Window?",
        "Close Window?", JOptionPane.YES_NO_OPTION,
        JOptionPane.QUESTION_MESSAGE, null, options,
 options[0]);
 if (n == 0) event.getWindow().setVisible(false);
    }
    public void windowActivated(WindowEvent event) {}
    public void windowClosed(WindowEvent event) {}
    public void windowDeactivated(WindowEvent event) {}
    public void windowDeiconified(WindowEvent event) {}
    public void windowIconified(WindowEvent event) {}
    public void windowOpened(WindowEvent event) {}
});
initComponents();
...

Also change defaultCloseOperation from EXIT_ON_CLOSE to DO_NOTHING_ON_CLOSE