I want a message box to come up when I close an Excel worksheet

In the "This Workbook" module I have inserted the following code

Private Sub Workbook_Close()

MsgBox "This Worksheet is now closing"

End Sub

When I click on F5 in Visual Basic Editor, it works, but when I close the
document, it doesn't.

Any ideas?

Many thanks

Kindest regards

PaddyMac