How can I display a pop up a confirmation dialog when the user closes the form?

You can listen to the Form’s Closing event, where you can display a MessageBox as show below:

[C#]
private void Form1_Closing(object sender, System.ComponentModel.CancelEventArgs e)
{
	if (MessageBox.Show('Do you want to close the application?', 'Close Application', MessageBoxButtons.YesNo) == DialogResult.No)
		e.Cancel = true;

}
[VB.NET]
Private  Sub Form1_Closing(ByVal sender As Object, ByVal e As System.ComponentModel.CancelEventArgs)
	If MessageBox.Show('Do you want to close the application?','Close Application',MessageBoxButtons.YesNo) = DialogResult.No Then
		e.Cancel = True
	End If
 
End Sub