gistfile1.cs

class Program
{
    [DllImport("Kernel32")]
    private static extern bool SetConsoleCtrlHandler(EventHandler handler, bool add);

    private delegate bool EventHandler(CtrlType sig);
    static EventHandler _handler;

    enum CtrlType
    {
        CTRL_C_EVENT = 0,
        CTRL_BREAK_EVENT = 1,
        CTRL_CLOSE_EVENT = 2,
        CTRL_LOGOFF_EVENT = 5,
        CTRL_SHUTDOWN_EVENT = 6
    }

    private static bool Handler(CtrlType sig)
    {
        switch (sig)
        {
            case CtrlType.CTRL_C_EVENT:
            case CtrlType.CTRL_LOGOFF_EVENT:
            case CtrlType.CTRL_SHUTDOWN_EVENT:
            case CtrlType.CTRL_CLOSE_EVENT:
            default:
                var str = "";
                break;
        }

        // If it returns true,
        // windows prompts "Terminate Process Now" dialog.
        return false;
    }

    static void Main(string[] args)
    {
        // Some biolerplate to react to close window event
        _handler += new EventHandler(Handler);
        SetConsoleCtrlHandler(_handler, true);

        System.Console.Read();
    }
}