Is their a way to display a message box, when the user click to exit
the worksheet using a macro?

The user will have 3 options Yes, No, Cancel.

How can I program this using VBA in Ms Excel XP?

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The code I use at the moment saves the worksheet without asking the
user:

Sub CloseSpreedsheet()
'Saves spreedsheet
ThisWorkbook.Saved = True
'Closes the application
Application.Quit
End Sub